Malliavin Greeks without Malliavin calculus
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- scientific article; zbMATH DE number 5010396 (Why is no real title available?)
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- Applications of Malliavin calculus to Monte Carlo methods in finance
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Computation of Greeks for barrier and look-back options using Malliavin calculus
- Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
- Local Vega Index and Variance Reduction Methods
- Malliavin Monte Carlo Greeks for jump diffusions
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Weak limit theorems for stochastic integrals and stochastic differential equations
Cited in
(35)- Monte Carlo gradient estimation in machine learning
- QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
- What you should know about simulation and derivatives
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- Monte Carlo Greeks for financial products via approximative transition densities
- Optimal approximation of Skorohod integrals
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- scientific article; zbMATH DE number 7290853 (Why is no real title available?)
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Sensitivity of the joint survival probability for reinsurance schemes
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Importance sampling for option Greeks with discontinuous payoffs
- Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model
- On the data-driven COS method
- Monte Carlo methods for derivatives of options with discontinuous payoffs
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- Sensitivity analysis of long-term cash flows
- An introduction to particle methods with financial applications
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
- Asymptotic properties of Monte Carlo estimators of derivatives
- Malliavin calculus for Markov chains using perturbations of time
- Estimating residual hedging risk with least-squares Monte Carlo
- Smart Monte Carlo: various tricks using Malliavin calculus
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Pricing participating products under a generalized jump-diffusion model
- Computing Greeks for Lévy Models: The Fourier Transform Approach
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- Weak approximation of martingale representations
- Importance sampling for pathwise sensitivity of stochastic chaotic systems
- Optimal pointwise approximation of anticipating SDEs
- Estimating sensitivities of portfolio credit risk using Monte Carlo
- Computing deltas without derivatives
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