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Volumn 8, Issue , 2003, Pages 51-62

Computation of greeks for barrier and look-back options using malliavin calculus

Author keywords

Barrier and lookback options; Malliavin calculus; Option sensitivities

Indexed keywords


EID: 3042814809     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v8-1069     Document Type: Article
Times cited : (31)

References (11)
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    • Broadie, M.1    Glasserman, P.2
  • 3
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    • Calcul stochastique et operateurs degeneres du second ordre - II. Probleme de Dirichlet
    • P. Cattiaux. Calcul stochastique et operateurs degeneres du second ordre - II. Probleme de Dirichlet. Bull. Sc. Math., 2eme serie, 115:81-122, 1991.
    • (1991) Bull. Sc. Math., 2Eme Serie , vol.115 , pp. 81-122
    • Cattiaux, P.1
  • 5
    • 0000039677 scopus 로고    scopus 로고
    • Applications of Malliavin calculus to Monte Carlo methods in finance, II
    • E. Fournie, J.M. Lasry, J. Lebuchoux, and P.L. Lions. Applications of Malliavin calculus to Monte Carlo methods in finance, II. Finance and Stochastics, 5:201-236, 2001.
    • (2001) Finance and Stochastics , vol.5 , pp. 201-236
    • Fournie, E.1    Lasry, J.M.2    Lebuchoux, J.3    Lions, P.L.4
  • 6
    • 0014886852 scopus 로고
    • A real variable lemma and the continuity of paths of some gaussian processes
    • A.M. Garsia, E. Rodemich, and H.Jr. Rumsey. A real variable lemma and the continuity of paths of some gaussian processes. Indiana University Mathematics Journal, 20(6):565-578, 1970.
    • (1970) Indiana University Mathematics Journal , vol.20 , Issue.6 , pp. 565-578
    • Garsia, A.M.1    Rodemich, E.2    Rumsey, H.3
  • 7
    • 0000728309 scopus 로고
    • Some guidelines and guarantees for common random numbers
    • P. Glasserman and D.D. Yao. Some guidelines and guarantees for common random numbers. Management Science, 38(6):884-908, 1992.
    • (1992) Management Science , vol.38 , Issue.6 , pp. 884-908
    • Glasserman, P.1    Yao, D.D.2
  • 9
    • 0001577860 scopus 로고
    • On the convergence rates of IPA and FDC derivative estimators
    • P. L’Ecuyer and G. Perron. On the convergence rates of IPA and FDC derivative estimators. Oper. Res., 42(4):643-656, 1994.
    • (1994) Oper. Res. , vol.42 , Issue.4 , pp. 643-656
    • L’Ecuyer, P.1    Perron, G.2
  • 11
    • 0040770767 scopus 로고
    • Absolute continuity of the law of the maximum of a continuous process
    • D. Nualart and J. Vives. Absolute continuity of the law of the maximum of a continuous process. C. R. Acad. Sci., Paris, 307(7):349-354, 1988.
    • (1988) C. R. Acad. Sci., Paris , vol.307 , Issue.7 , pp. 349-354
    • Nualart, D.1    Vives, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.