Applications of Malliavin calculus to Monte-Carlo methods...

Finance and Stochastics 2001 / 04 Vol. 5; Iss. 2

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

Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions
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Volume:
5
Language:
english
Pages:
36
Journal:
Finance and Stochastics
DOI:
10.1007/pl00013529
Date:
April, 2001
File:
PDF, 275 KB
english, 2001
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