Optimal Malliavin Weighting Function for the Computation of the Greeks
From MaRDI portal
Publication:4409036
DOI10.1111/1467-9965.t01-1-00004zbMath1049.91058MaRDI QIDQ4409036
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00004
91G70: Statistical methods; risk measures
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Weak approximations for Wiener functionals, Malliavin Greeks without Malliavin calculus, FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS, Efficient price sensitivity estimation of financial derivatives by weak derivatives
Cites Work