SCOPUS 정보 검색 플랫폼

Volumn 2, Issue 5, 2002, Pages 329-336

Smart Monte Carlo: Various tricks using Malliavin calculus

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85009795347 PISSN: 14697688 EISSN: 14697696 Source Type: Journal
DOI: 10.1088/1469-7688/2/5/301 Document Type: Article

Times cited : (15)

References (10)

1
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- London School of Economics working paper
- Benhamou E 2000a An Application of Malliavin Calculus to Continuous Time Asian Options London School of Economics working paper http://www.ericbenhamou.fr.st/documents/articles/Malliavin-Asian.pdf
- (2000) An Application of Malliavin Calculus to Continuous Time Asian Options
- Benhamou, E.¹

2
- 30244439823
- PhD Thesis London School of Economics
- Benhamou E 2000b Application of Malliavin calculus and Wiener chaos to option pricing theory PhD Thesis London School of Economics http://www.ericbenhamou.fr.st/documents/articles/Thesis.pdf
- (2000) Application of Malliavin Calculus and Wiener Chaos to Option Pricing Theory
- Benhamou, E.¹

3
- 85023862722
- (Monte Carlo, 2000) Math. Finance at press
- Benhamou E 2000c Optimal Malliavin weighting function for the computation of the Greeks Proc. Monte Carlo Congr. (Monte Carlo, 2000) Math. Finance at press http://www.ericbenhamou.fr.st/documents/articles/MF Optimal-Malliavin.pdf
- (2000) Optimal Malliavin Weighting Function for the Computation of the Greeks Proc. Monte Carlo Congr
- Benhamou, E.¹

4
- 0001064964
- Estimating security price derivatives using simulation
- Broadie M and Glasserman P 1996 Estimating security price derivatives using simulation Manag. Sci. 42 269–85
- (1996) Manag. Sci , vol.42 , pp. 269-285
- Broadie, M.¹ Glasserman, P.²

5
- 0001488061
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Fournié E, Lasry J M, Lebuchoux J, Lions P L and Touzi N 1999 Applications of Malliavin calculus to Monte Carlo methods in finance Finance Stochastics 3 391–412
- (1999) Finance Stochastics , vol.3 , pp. 391-412
- Fournié, E.¹ Lasry, J.M.² Lebuchoux, J.³ Lions, P.L.⁴ Touzi, N.⁵

6
- 0000039677
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Fournié E, Lasry J M, Lebuchoux J and Lions P L 2001 Applications of Malliavin calculus to Monte Carlo methods in finance. II Finance Stochastics 5 201–36
- (2001) II Finance Stochastics , vol.5 , pp. 201-236
- Fournié, E.¹ Lasry, J.M.² Lebuchoux, J.³ Lions, P.L.⁴

7
- 0010426292
- CMAP, R.I. N464
- Gobet E and Kohatsu-Higa A 2001 Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus Ecole Polytechnique, CMAP, R.I. N464 http://www.cmap.polytechnique.fr/gobet/paper/RI464.ps
- (2001) Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus Ecole Polytechnique
- Gobet, E.¹ Kohatsu-Higa, A.²

8
- 85023832953
- Monte Carlo computations of American options via Malliavin calculus Monte Carlo 2000
- Lions P L and Régnier H 2000 Monte Carlo computations of American options via Malliavin calculus Monte Carlo 2000 Conf. mimeo
- (2000) Conf. Mimeo
- Lions, P.L.¹ Régnier, H.²

9
- 0004035123
- (Probability and its Applications) (Berlin: Springer)
- Nualart D 1995 Malliavin Calculus and Related Topics (Probability and its Applications) (Berlin: Springer)
- (1995) Malliavin Calculus and Related Topics
- Nualart, D.¹

10
- 85012242558
- Computing option price sensitivities using homogeneity and other tricks
- Reiss O and Wystup U 2001 Computing option price sensitivities using homogeneity and other tricks J. Derivatives Winter 41–53
- (2001) J. Derivatives Winter , pp. 41-53
- Reiss, O.¹ Wystup, U.²

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