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Volumn 13, Issue 1, 2003, Pages 37-53

Optimal Malliavin weighting function for the computation of the Greeks

(1)  Benhamou, Eric a  

a NONE

Author keywords

Greeks; Likehood ratio; Malliavin calculus; Monte Carlo; Quasi Monte Carlo

Indexed keywords


EID: 0141902108     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.t01-1-00004     Document Type: Conference Paper
Times cited : (35)

References (15)
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  • 10
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    • Computation of greeks for barrier and lookback options using Malliavin calculus
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.