Malliavin calculus in a binomial framework-Reference-Cited by-同舟云学术

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Malliavin calculus in a binomial framework

Published:2018-02-13 Issue:6 Volume:34 Page:774-781
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Cohen Samuel N.¹,Elliott Robert J.²³,Siu Tak Kuen⁴

Affiliation:

1. Mathematical Institute University of Oxford Oxford UK

2. Haskayne School of Business University of Calgary Calgary AB Canada

3. School of Commerce University of South Australia Adelaide SA Australia

4. Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics MacQuarie University Sydney NSW Australia

Funder

Social Sciences and Humanities Research Council of Canada

Australian Research Council

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2318

Reference8 articles.

1. A general theory of finite state Backward Stochastic Difference Equations

2. Backward Stochastic Differential Equations in Finance

3. Stochastic Analysis in Discrete and Continuous Settings

4. Leitz‐MartiniM.A discrete Clark‐Ocone formula. Research Report No 19.Aarhus Denmark:MaPhySto;2000.

5. On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model

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