Computation of Greeks for barrier and look-back options using Malliavin calculus
type: Item
instance of: scholarly article
title: Computation of Greeks for barrier and look-back options using Malliavin calculus
zbMATH Open document ID: 1061.60054
author: Emmanuel Gobet
author: Arturo Kohatsu-Higa
published in: Electronic Communications in Probability
publication date: 2005-03-14T00:00:00Z
full work available at URL: https://eudml.org/doc/124580
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 2145754
zbMATH Keywords: numerical computations
zbMATH Keywords: integration by parts formulae
MaRDI profile type: Publication
DOI: 10.1214/ECP.V8-1069
description: scientific article; zbMATH DE number 2145754