Malliavin Greeks without Malliavin calculus
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference16 articles.
1. Optimal Malliavin weighting function for the computation of Greeks;Benhamou;Mathematical Finance,2003
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3. Efficient computation of hedging portfolios for options with discontinuous payoffs;Cvitanic;Mathematical Finance,2003
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