Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (Q5228352)
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scientific article; zbMATH DE number 7091906
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis |
scientific article; zbMATH DE number 7091906 |
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Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (English)
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12 August 2019
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Bismut-Elworthy-Li Formula
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stochastic differential equations
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weak approximation
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sensitivity analysis
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Malliavin calculus
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Monte Carlo simulation
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