Functional Itô calculus, path-dependence and the computation of Greeks
type: Item
instance of: scholarly article
title: Functional Itô calculus, path-dependence and the computation of Greeks
zbMATH Open document ID: 1377.60065
author: Samy Jazaerli
author: Yuri F. Saporito
published in: Stochastic Processes and their Applications
publication date: 2017-11-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1311.3881
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6804396
zbMATH Keywords: functional Itô calculus
zbMATH Keywords: path-dependence
zbMATH Keywords: Greeks
zbMATH Keywords: Monte Carlo methods
MaRDI profile type: Publication
OpenAlex ID: W1646613531
arXiv ID: 1311.3881
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DOI: 10.1016/J.SPA.2017.03.015
description: scientific article