scientific article; zbMATH DE number 1789173

MaRDI QIDQ4548765zbMATHFDO

Authors Miquel Montero, Arturo Kohatsu-Higa

Publication date 26 August 2002

Full work available at URL https://arxiv.org/abs/cond-mat/0111563

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cited in

(1)

• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

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