Functional Itô calculus, path-dependence and the computation of Greeks
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Publication:1679474
DOI10.1016/j.spa.2017.03.015zbMath1377.60065arXiv1311.3881OpenAlexW1646613531MaRDI QIDQ1679474
Yuri F. Saporito, Samy Jazaerli
Publication date: 9 November 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.3881
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
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