Pages that link to "Item:Q1768196"

The following pages link to Computation of Greeks for barrier and look-back options using Malliavin calculus (Q1768196):

Displaying 19 items.

• Density analysis of non-Markovian BSDEs and applications to biology and finance (Q681991) (← links)
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
• Functional Itô calculus, path-dependence and the computation of Greeks (Q1679474) (← links)
• An integration by parts type formula for stopping times and its application (Q1707041) (← links)
• Smoothness of the distribution of the supremum of a multi-dimensional diffusion process (Q1935422) (← links)
• On density functions related to discrete time maximum of some one-dimensional diffusion processes (Q2101959) (← links)
• Integration by parts formula for killed processes: a point of view from approximation theory (Q2274216) (← links)
• Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations (Q2330408) (← links)
• Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum (Q2438494) (← links)
• Malliavin Greeks without Malliavin calculus (Q2464862) (← links)
• Kernel estimation of Greek weights by parameter randomization (Q2467608) (← links)
• CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL (Q2874731) (← links)
• Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (Q3121475) (← links)
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options (Q4409040) (← links)
• Smart Monte Carlo: various tricks using Malliavin calculus (Q4646793) (← links)
• A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options (Q4795993) (← links)
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift (Q5096633) (← links)
• Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation (Q5131408) (← links)
• Weak approximation of martingale representations (Q5962610) (← links)