Malliavin Greeks without Malliavin calculus

Stochastic Processes and their Applications

Volumn 117, Issue 11, 2007, Pages 1689-1723

  Chen, Nan ^a   Glasserman, Paul ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

Author keywords

Likelihood ratio method; Malliavin calculus; Monte Carlo simulation; Pathwise derivative method; Weak convergence

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIATION (CALCULUS); MONTE CARLO METHODS; PROBABILITY DENSITY FUNCTION; SENSITIVITY ANALYSIS;

LIKELIHOOD RATIO METHOD; MALLIAVIN CALCULUS; PATHWISE DERIVATIVE METHOD;

PARAMETER ESTIMATION;

EID: 34548683445     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.03.012     Document Type: Article

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