On Higher Derivatives of Expectations
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References listed on IDEAS
- Eric Benhamou, 2003. "Optimal Malliavin Weighting Function for the Computation of the Greeks," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 37-53.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
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Keywordsprice sensitivities; greeks; malliavin calculus;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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