Numerical Methods and Stochastics Part I: Numerical Methods
نویسنده
چکیده
منابع مشابه
Applications of Malliavin calculus to Monte-Carlo methods in finance. II
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise efficient Monte-Carlo (numerical) methods for Finance. First, we return to the formulas developed in [1] concerning the “greeks” used in European options, and we answer to the question of optimal weight functional in the sense of minimal variance. Then, we investigate the use o...
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