Publication:3374063
From MaRDI portal
zbMath1138.91454MaRDI QIDQ3374063
Arturo Kohatsu-Higa, Miquel Montero
Publication date: 9 March 2006
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Weak approximations for Wiener functionals, Multidimensional quasi-Monte Carlo Malliavin Greeks, Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations, Prices and sensitivities of Asian options: A survey, Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition, Malliavin Greeks without Malliavin calculus, Kernel estimation of Greek weights by parameter randomization, Sensitivity of the joint survival probability for reinsurance schemes, An Introduction to Particle Methods with Financial Applications, Double Kernel Estimation of Sensitivities, Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model