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Applications of Malliavin calculus to Monte-Carlo methods in finance. II |
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| Authors: | Eric Fournié Jean-Michel Lasry Jérôme Lebuchoux Pierre-Louis Lions |
| Institution: | (1) PARIBAS Capital Markets, 10, Harewood Avenue, NW1 6AA London, England , GB;(2) Ceremade, UMR 9534, Université Paris-Dauphine, Place Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, France (e-mail: mazzella@ceremade.dauphine.fr) , FR;(3) Laboratoire de Prohabilités, Université Pierre er Marie Curie, 4, Place Jussieu, 75252 Paris Céedex 05, France , FR |
| Abstract: | |
| Keywords: | : Monte Carlo methods Malliavin calculus hedge ratios and greeks conditional expectations PDE anticipative Girsanov transform functional dependence |
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