Applications of Malliavin calculus to Monte Carlo methods in finance
From MaRDI portal
Publication:1979069
DOI10.1007/s007800050068zbMath0947.60066MaRDI QIDQ1979069
Eric Fournié, Jean-Michel Lasry, Pierre-Louis Lions, 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 calculus; Black-Scholes model; volatility; hedge ratios; Monte-Carlo methods; Greeks; integration-by-parts
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60J60: Diffusion processes
60H07: Stochastic calculus of variations and the Malliavin calculus
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