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Applications of Malliavin calculus to Monte-Carlo methods in finance. II · Study

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ArticleApplications of Malliavin calculus to Monte-Carlo methods in finance. II

Jean‐Michel Lasry2001

Article2001

Applications of Malliavin calculus to Monte-Carlo methods in finance. II

Jean‐Michel Lasry · Jérôme Lebuchoux · Pierre‐Louis Lions

174 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 174 citations exist upstream.

Cited by

2012A mean-field stochastic maximum principle via Malliavin calculus 2006A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations 2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods 2010PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS 2005MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES 2007Malliavin Greeks without Malliavin calculus 2007Prices and sensitivities of Asian options: A survey 2008What you should know about simulation and derivatives

Details

Year2001

Typearticle

Published2001-04-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations174

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/pl00013529

openalex_workW4243465933

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