Pages that link to "Item:Q5936315"
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The following pages link to Applications of Malliavin calculus to Monte-Carlo methods in finance. II (Q5936315):
Displayed 26 items.
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- Malliavin calculus applied to finance (Q1859758) (← links)
- Malliavin Greeks without Malliavin calculus (Q2464862) (← links)
- Integration by parts formula for locally smooth laws and applications to sensitivity computations (Q2467110) (← links)
- Kernel estimation of Greek weights by parameter randomization (Q2467608) (← links)
- A Malliavin calculus approach to sensitivity analysis in insurance (Q2485535) (← links)
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options (Q2498794) (← links)
- Computation of optimal portfolios using simulation-based dimension reduction (Q2518536) (← links)
- Application of kernel-based stochastic gradient algorithms to option pricing (Q3516785) (← links)
- Existence and Uniqueness of Solutions to Fokker–Planck Type Equations with Irregular Coefficients (Q3532799) (← links)
- What you should know about simulation and derivatives (Q3612294) (← links)
- Local Vega Index and Variance Reduction Methods (Q4409039) (← links)
- Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs (Q4409042) (← links)
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach (Q5315933) (← links)
- Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics (Q5426644) (← links)
- Integration by Parts for Point Processes and Monte Carlo Estimation (Q5440650) (← links)
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (Q5459957) (← links)
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES (Q5462131) (← links)
- AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I (Q5696855) (← links)
- QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS (Q5696881) (← links)
