Malliavin Calculus applied to finance-Reference-Cited by-同舟云学术

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Malliavin Calculus applied to finance

Published:2003-03 Issue: Volume:320 Page:548-570
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Montero Miquel,Kohatsu-Higa Arturo

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference9 articles.

1. Stochastic Differential Equations and Diffusion Processes;Ikeda,1989

2. The Malliavin Calculus and Related Topics;Nualart,1995

3. Stochastic Analysis;Malliavin,1997

4. Applications of Malliavin Calculus to Monte Carlo methods in finance;Fournié;Finance Stochastic,1999

5. Applications of Malliavin Calculus to Monte Carlo methods in finance. II;Fournié;Finance Stochastic,2001

Cited by 20 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider;Mathematics;2023-10-21

2. European and Asian Greeks for Exponential Lévy Processes;Methodology and Computing in Applied Probability;2023-03

3. Short Introduction to Malliavin Calculus in Continuous-Time Model;Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree;2022

4. Introduction;Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree;2022

5. Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting;Stochastic Analysis and Applications;2019-03-04

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