An Asymptotic Expansion with Push-Down of Malliavin Weights
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/100807624
Reference13 articles.
1. Pricing options under stochastic volatility: a power series approach
2. Computation of Greeks using Malliavin's calculus in jump type market models
3. Applications of Malliavin calculus to Monte Carlo methods in finance
4. Small noise expansion and importance sampling
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