scientific article; zbMATH DE number 5010396

zbMATH Open1138.91454MaRDI QIDQ3374063FDOQ3374063

Arturo Kohatsu-Higa, Miquel Montero

Publication date: 9 March 2006

Title of this publication is not available (Why is that?)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (13)

• Prices and sensitivities of Asian options: A survey
• Weak approximations for Wiener functionals
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
• Kernel estimation of Greek weights by parameter randomization
• Sensitivity of the joint survival probability for reinsurance schemes
• Malliavin Greeks without Malliavin calculus
• Double Kernel Estimation of Sensitivities
• Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• An Introduction to Particle Methods with Financial Applications
• Weak approximation of martingale representations
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes

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