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Analysis of Error with Malliavin Calculus: Application to Hedging
6 references·1 citing·24 second hop
Analysis of Error with Malliavin Calculus: Application to Hedging (2003)Analysis of Error with Malliavin Calculus…Discrete time hedging errors for options with irregular payoffs (2001)Discrete time hedging errors …Couverture approchée des options européennes (1999)Couverture approchée des opti…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Applications of the Malliavin Calculus, Part I (1984)Applications of the Malliavin…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…Limit Distributions for the Error in Approximations of Stochastic Integrals (1980)Limit Distributions for the E…Numerical error for SDE: Asymptotic expansion and hyperdistributions (2003)Numerical error for SDE: Asym…Stochastic Differential Equations and Applications (1976)Continuous Martingales and Brownian Motion (1999)Quantitative approximation of certain stochastic integrals (2002)Delta-hedging vega risk? (2004)L2 -time regularity of BSDEs with irregular terminal functions (2010)Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)The law of the Euler scheme for stochastic differential equations (1996)Weak approximation of killed diffusion using Euler schemes (2000)Stochastic calculus of variations and hypoelliptic operators (1978)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe (1992)An Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims (2001)Stochastic differential equations with reflecting boundary conditions (1984)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Specification Analysis of Affine Term Structure Models (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales (2005)Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE (2001)On an approximation problem for stochastic integrals where random time nets do not help (2005)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Stochastic Calculus with Respect to Gaussian Processes (2001)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
this work references cited by second hop

References

  • 1995The Malliavin Calculus and Related Topics1,657 cited
  • 1981Stochastic Differential Equations and Diffusion Processes633 cited
  • 1984Applications of the Malliavin Calculus, Part I237 cited
  • 1980Limit Distributions for the Error in Approximations of Stochastic Integrals76 cited
  • 2001Discrete time hedging errors for options with irregular payoffs72 cited
  • 1999Couverture approchée des options européennes25 cited

Cited by

  • 2003Numerical error for SDE: Asymptotic expansion and hyperdistributions20 cited

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