Computation of Greeks for barrier and look-back options using Malliavin calculus
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Publication:1768196
DOI10.1214/ECP.v8-1069zbMath1061.60054MaRDI QIDQ1768196
Emmanuel Gobet, Arturo Kohatsu-Higa
Publication date: 14 March 2005
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/124580
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
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