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Weak Approximations for Wiener Functionals

Author

Listed:
  • Leão, Dorival
  • Ohashi, Alberto
Abstract
No abstract is available for this item.

Suggested Citation

  • Leão, Dorival & Ohashi, Alberto, 2012. "Weak Approximations for Wiener Functionals," Insper Working Papers wpe_276, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    • Handle: RePEc:ibm:ibmecp:wpe_276
    as

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    File URL: http://www.insper.edu.br/wp-content/uploads/2012/11/2012_wpe276.pdf
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    References listed on IDEAS

    as
    1. Bruno Bouchard & Ivar Ekeland & Nizar Touzi, 2004. "On the Malliavin approach to Monte Carlo approximation of conditional expectations," Finance and Stochastics, Springer, vol. 8(1), pages 45-71, January.
    2. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
    3. repec:dau:papers:123456789/1802 is not listed on IDEAS
    4. Eric Benhamou, 2003. "Optimal Malliavin Weighting Function for the Computation of the Greeks," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 37-53, January.
    5. Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Hans‐Peter Bermin, 2002. "A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 199-218, July.
    Full references (including those not matched with items on IDEAS)

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