Applications of Malliavin calculus to Monte Carlo methods in finance
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- Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
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KeywordsMonte Carlo methods; Malliavin calculus; hedge ratios and Greeks;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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