Computation of Greeks for barrier and look-back options using Malliavin calculus.

Gobet, Emmanuel; Kohatsu-Higa, Arturo

Electronic Communications in Probability [electronic only] (2003)

  • Volume: 8, page 51-62
  • ISSN: 1083-589X

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Gobet, Emmanuel, and Kohatsu-Higa, Arturo. "Computation of Greeks for barrier and look-back options using Malliavin calculus.." Electronic Communications in Probability [electronic only] 8 (2003): 51-62. <http://eudml.org/doc/124580>.

@article{Gobet2003,
author = {Gobet, Emmanuel, Kohatsu-Higa, Arturo},
journal = {Electronic Communications in Probability [electronic only]},
keywords = {numerical computations; integration by parts formulae},
language = {eng},
pages = {51-62},
publisher = {University of Washington},
title = {Computation of Greeks for barrier and look-back options using Malliavin calculus.},
url = {http://eudml.org/doc/124580},
volume = {8},
year = {2003},
}

TY - JOUR
AU - Gobet, Emmanuel
AU - Kohatsu-Higa, Arturo
TI - Computation of Greeks for barrier and look-back options using Malliavin calculus.
JO - Electronic Communications in Probability [electronic only]
PY - 2003
PB - University of Washington
VL - 8
SP - 51
EP - 62
LA - eng
KW - numerical computations; integration by parts formulae
UR - http://eudml.org/doc/124580
ER -

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