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Classical and variational differentiability of BSDEs with quadratic growth.

Ankirchner, Stefan, Imkeller, Peter, Dos Reis, Gonçalo J.N. (2007)

Electronic Journal of Probability [electronic only]

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

Gobet, Emmanuel, Kohatsu-Higa, Arturo (2003)

Electronic Communications in Probability [electronic only]

Continuous $Θ$ -methods for the stochastic pantograph equation.

Baker, Christopher T.H., Buckwar, Evelyn (2000)

ETNA. Electronic Transactions on Numerical Analysis [electronic only]

Convergence rates for the full gaussian rough paths

Peter Friz, Sebastian Riedel (2014)

Annales de l'I.H.P. Probabilités et statistiques

Under the key assumption of finite $ρ$ -variation, $ρ \in [1, 2)$ , of the covariance of the underlying Gaussian process, sharp a.s. convergence rates for approximations of Gaussian rough paths are established. When applied to Brownian resp. fractional Brownian motion (fBM), $ρ = 1$ resp. $ρ = 1 / (2 H)$ , we recover and extend the respective results of (Trans. Amer. Math. Soc.361 (2009) 2689–2718) and (Ann. Inst. Henri Poincasé Probab. Stat.48(2012) 518–550). In particular, we establish an a.s. rate $k^{- (1 / ρ - 1 / 2 - ε)}$ , any $ε g t; 0$ , for Wong–Zakai and Milstein-type...

Displaying 1 – 4 of 4

Classical and variational differentiability of BSDEs with quadratic growth.

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

Continuous Θ -methods for the stochastic pantograph equation.

Convergence rates for the full gaussian rough paths

Currently displaying 1 – 4 of 4

Continuous $Θ$ -methods for the stochastic pantograph equation.