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Weak Approximations for Wiener Functionals

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  • Leão, Dorival
  • Ohashi, Alberto
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    Paper provided by Insper Working Paper, Insper Instituto de Ensino e Pesquisa in its series Insper Working Papers with number wpe_215.

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    Date of creation: Oct 2010
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    Handle: RePEc:ibm:ibmecp:wpe_215

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    1. Eric Benhamou, 2003. "Optimal Malliavin Weighting Function for the Computation of the Greeks," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 37-53.
    2. Gozzi, Fausto & Russo, Francesco, 2006. "Weak Dirichlet processes with a stochastic control perspective," Stochastic Processes and their Applications, Elsevier, vol. 116(11), pages 1563-1583, November.
    3. Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault, 2000. "White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance," Finance and Stochastics, Springer, vol. 4(4), pages 465-496.
    5. Knight, Frank B., 1997. "Approximation of stopped Brownian local time by diadic crossing chains," Stochastic Processes and their Applications, Elsevier, vol. 66(2), pages 253-270, March.
    6. Hans-Peter Bermin, 2002. "A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 199-218.
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