Applications of Malliavin calculus to Monte-Carlo methods in finance. II
摘要：
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise efficient Monte-Carlo (numerical) methods for Finance. First, we return to the...
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关键词：
Monte Carlo methods, Malliavin calculus, hedge ratios and greeks, conditional expectations, PDE, anticipative Girsanov transform, functional dependence JEL Classification: G13 Mathematics Subject Classification (1991): 60H07, 60J60, 65C05
DOI：
10.1007/PL00013529
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年份：
2001
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来源期刊
Finance and Stochastics
2001/04/01
引用走势
2009
被引量：61
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