Applications of Malliavin calculus to Monte-Carlo methods in finance. II

DOI10.1007/PL00013529zbMath0973.60061OpenAlexW4243465933MaRDI QIDQ5936315

Jérôme Lebuchoux, Jean-Michel Lasry, Eric Fournié, Pierre-Louis Lions

Publication date: 11 July 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00013529

zbMATH Keywords

Malliavin calculus Monte Carlo methods partial differential equations anticipative Girsanov transform conditional expectations functional dependence hedge ratios and greeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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