On the Malliavin approach to Monte Carlo approximation of conditional expectations

Finance and Stochastics

Volumn 8, Issue 1, 2004, Pages 45-71

  Bouchard, Bruno ^a   Ekeland, Ivar ^b   Touzi, Nizar ^c  

^a SORBONNE UNIVERSITÉ   (France)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c Centre National de la Recherche Scientifique   (France)

Author keywords

Calculus of variations; Malliavin calculus; Monte Carlo

Indexed keywords

EID: 21144449179     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-003-0109-0     Document Type: Article

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