Malliavin calculus in Lev́y spaces and applications to finance.
Electronic Journal of Probability [electronic only] (2008)
- Volume: 13, page 852-879
- ISSN: 1083-589X
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topPetrou, Evangelia. "Malliavin calculus in Lev́y spaces and applications to finance.." Electronic Journal of Probability [electronic only] 13 (2008): 852-879. <http://eudml.org/doc/225265>.
@article{Petrou2008,
author = {Petrou, Evangelia},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {Lévy processes; Malliavin calculus; Monte Carlo methods; greeks},
language = {eng},
pages = {852-879},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Malliavin calculus in Lev́y spaces and applications to finance.},
url = {http://eudml.org/doc/225265},
volume = {13},
year = {2008},
}
TY - JOUR
AU - Petrou, Evangelia
TI - Malliavin calculus in Lev́y spaces and applications to finance.
JO - Electronic Journal of Probability [electronic only]
PY - 2008
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 13
SP - 852
EP - 879
LA - eng
KW - Lévy processes; Malliavin calculus; Monte Carlo methods; greeks
UR - http://eudml.org/doc/225265
ER -
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