Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (Q5228352)
From MaRDI portal
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 |
Statements
Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (English)
0 references
12 August 2019
0 references
Bismut-Elworthy-Li Formula
0 references
stochastic differential equations
0 references
weak approximation
0 references
sensitivity analysis
0 references
Malliavin calculus
0 references
Monte Carlo simulation
0 references
0 references
0 references
