Applications of Malliavin calculus to Monte-Carlo methods in finance. II
From MaRDI portal
Publication:5936315
DOI10.1007/PL00013529zbMath0973.60061MaRDI QIDQ5936315
Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions
Publication date: 11 July 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Malliavin calculus; Monte Carlo methods; partial differential equations; anticipative Girsanov transform; conditional expectations; functional dependence; hedge ratios and greeks
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60J60: Diffusion processes
60H07: Stochastic calculus of variations and the Malliavin calculus
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