scientific article; zbMATH DE number 1795914

MaRDI QIDQ4550987zbMATH OpenFDO

Authors Łukasz Krajna

Publication date 11 November 2002

zbMATH Keywords

Black-Scholes diffusionoptimum portfoliovolatility Malliavin derivative

Mathematics Subject Classification ID

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Cited in

(4)

• Dynamic optimization models in finance: some extensions to the framework, models, and computation
• Portfolio optimization and martingale measures
• Influence of risk tolerance on long-term investments: a Malliavin calculus approach
• Computation of the Greeks delta and gamma of Asian option: a Malliavin calculus approach

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