Optimal Malliavin Weighting Function for the Computation of the Greeks
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Publication:4409036
DOI10.1111/1467-9965.t01-1-00004zbMath1049.91058OpenAlexW3122627125MaRDI QIDQ4409036
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00004
Statistical methods; risk measures (91G70) Stochastic calculus of variations and the Malliavin calculus (60H07)
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