Multidimensional quasi-Monte Carlo Malliavin Greeks
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References listed on IDEAS
- Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
- Piergiacomo Sabino, 2011. "Implementing quasi-Monte Carlo simulations with linear transformations," Computational Management Science, Springer, vol. 8(1), pages 51-74, April.
- Piergiacomo Sabino, 2009. "Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 49-65, May.
- Montero, Miquel & Kohatsu-Higa, Arturo, 2003. "Malliavin Calculus applied to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 548-570.
- Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
More about this item
KeywordsGreeks; Risk-management; Quasi-Monte Carlo methods; Malliavin calculus; C02; C15; C64;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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