Applications of Malliavin calculus to Monte Carlo methods in finance
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Publication:1979069
DOI10.1007/s007800050068zbMath0947.60066OpenAlexW2151832703MaRDI QIDQ1979069
Pierre-Louis Lions, Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchous
Publication date: 24 May 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050068
Malliavin calculusBlack-Scholes modelvolatilityhedge ratiosMonte-Carlo methodsGreeksintegration-by-parts
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)
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