Malliavin Greeks without Malliavin calculus
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference16 articles.
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3. Efficient computation of hedging portfolios for options with discontinuous payoffs;Cvitanic;Mathematical Finance,2003
4. Malliavin Monte Carlo Greeks for jump diffusions;Davis;Stochastic Processes and their Applications,2006
5. Probability: Theory and Examples;Durrett,1996
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