Smart Monte Carlo: Various tricks using Malliavin calculus
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- T. R. Cass & P. K. Friz, 2006. "The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance," Papers math/0604311, arXiv.org, revised May 2007.
- repec:eee:apmaco:v:264:y:2015:i:c:p:21-43 is not listed on IDEAS
- Tebaldi, Claudio, 2005.
"Hedging using simulation: a least squares approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 29(8), pages 1287-1312, August.
- Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
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KeywordsMonte-Carlo; Quasi-Monte Carlo; Greeks; Malliavin Calculus; Wiener Chaos.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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