Joint distributions for stochastic functional differential equations

DOI10.1080/17442508.2015.1137575zbMath1362.34120arXiv1601.01093OpenAlexW2223720471MaRDI QIDQ2833697

Atsushi Takeuchi

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.01093

zbMATH Keywords

Malliavin calculusdensity functionstochastic functional differential equationsoption pricing formulacomputations of the Greeks

Mathematics Subject Classification ID

Density estimation (62G07) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic functional-differential equations (34K50) Stochastic calculus of variations and the Malliavin calculus (60H07)

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