Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

DOI10.1007/978-4-431-68450-3_4zbMATH Open1111.60035OpenAlexW52263754MaRDI QIDQ5692192FDOQ5692192

Publication date: 27 September 2005

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-68450-3_4

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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)

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