Local Vega Index and Variance Reduction Methods
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9965.00007/fullpdf
Reference10 articles.
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3. P. Cattiaux, and L. Mesnager(2002 ): Hypoelliptic Non Homogeneous Diffusions .Prob. Theory & Rel. Fields123 , 453 -483 .
4. E. J. M. Fournie, J. Lebuchoux, and P.L. Lions(2001 ): Applications of Malliavin Calculus to Monte Carlo Methods in Finance, II .Finance Stoch.5 , 201 -236 .
5. E. Fournie, J.M. Lasry, J. Lebuchoux, P.L. Lions, and N. Touzi(1999 ): An Application of Malliavin Calculus to Monte Carlo Methods in Finance .Finance Stoch.3 , 391 -412 .
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