Optimal Malliavin Weighting Function for the Computation of the Greeks

DOI10.1111/1467-9965.t01-1-00004zbMath1049.91058MaRDI QIDQ4409036

Eric Benhamou

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00004

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

60H07: Stochastic calculus of variations and the Malliavin calculus

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Cites Work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Estimating Security Price Derivatives Using Simulation
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