Malliavin calculus applied to finance
type: Item
instance of: scholarly article
title: Malliavin calculus applied to finance
zbMATH Open document ID: 1010.91046
DOI: 10.1016/S0378-4371(02)01531-5
author: Miquel Montero
author: Arturo Kohatsu-Higa
published in: Physica A
publication date: 2003-02-19T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1871638
zbMATH Keywords: formulas
zbMATH Keywords: Monte Carlo simulation
MaRDI profile type: Publication
cites work: Q3992729
cites work: Q4842684
cites work: Q4337939
cites work: Applications of Malliavin calculus to Monte Carlo methods in finance
cites work: Applications of Malliavin calculus to Monte-Carlo methods in finance. II
cites work: Estimating Security Price Derivatives Using Simulation
cites work: On the Convergence Rates of IPA and FDC Derivative Estimators
description: scientific article; zbMATH DE number 1871638