SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Malliavin Monte Carlo Greeks for jump diffusions · Study

ArticleShelves

ArticleMalliavin Monte Carlo Greeks for jump diffusions

Mark H. Davis2005

OA

Articlebronze2005

Malliavin Monte Carlo Greeks for jump diffusions

Mark H. Davis · Martin Peter Johansson

86 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Probability and Risk Models Markov Chains and Monte Carlo Methods

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 86 citations exist upstream.

References

2006The Malliavin Calculus and Related Topics 1998Methods of Mathematical Finance 1995The Malliavin Calculus and Related Topics 1998Methods of Mathematical Finance 1999Applications of Malliavin calculus to Monte Carlo methods in finance 1991Malliavin calculus for processes with jumps 2000Chaotic and predictable representations for Lévy processes 1992Some Guidelines and Guarantees for Common Random Numbers

Cited by

2012Dynamic Valuation Decomposition Within Stochastic Economies 2006Canonical Lévy process and Malliavin calculus 2007Malliavin Greeks without Malliavin calculus 2008Malliavin Calculus in Lévy spaces and Applications to Finance.2007Integration by parts formula for locally smooth laws and applications to sensitivity computations 2010Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Controlarticle · 5 shared references 2005MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSESarticle · 5 shared references 2006Canonical Lévy process and Malliavin calculusarticle · 5 shared references 2010Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumpsarticle · 5 shared references 2010GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSESarticle · 5 shared references 2006Efficient stochastic sensitivity analysis of discrete event systemsarticle · 4 shared references

Details

Year2005

Typearticle

Published2005-09-10

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations86

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2005.08.002

openalex_workW1980372135

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2009

Numerical methods for Lévy processes

2008Pricing Participating Products under a Generalized Jump‐Diffusion Model