Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems (Q5486566)
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scientific article; zbMATH DE number 5052228
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| English | Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems |
scientific article; zbMATH DE number 5052228 |
Statements
11 September 2006
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asymptotic expansion
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Malliavin-Watanabe calculus
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optimal portfolio insurance
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term structure of interest rates
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Monte Carlo method
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0.85254967212677
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0.8233110308647156
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0.7982797026634216
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0.7847666144371033
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