Malliavin Monte Carlo Greeks for jump diffusions-Reference-Cited by-同舟云学术

Malliavin Monte Carlo Greeks for jump diffusions

Published:2006-01 Issue:1 Volume:116 Page:101-129
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Davis Mark H.A.,Johansson Martin P.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference14 articles.

1. V. Bally, M.-P. Bavouzet, M. Massaoud, Integration by part formula for locally smooth laws and applications to sensitivity computations, Report 5567, INRIA, Rocquencourt, France, 2005.

2. M.-P. Bavouzet, M. Massaoud, Computation of Greeks using Malliavin's calculus in jump-type market models, Report 5482, INRIA, Rocquencourt, France, 2005.

3. Malliavin Calculus for Processes with Jumps;Bichteler,1987

4. Calcul des variations stochastique et processus de saut;Bismut;Z. Wahrscheinlichkeitstheorie ver. Geb.,1983

5. Differential calculus and integration by parts on Poisson space;Carlen,1990

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