Applications of Malliavin calculus to Monte Carlo methods in finance

Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis; Touzi, Nizar

doi:10.1007/s007800050068

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Applications of Malliavin calculus to Monte Carlo methods in finance

Author(s): Eric Fournié , Jean-Michel Lasry , Jérôme Lebuchoux , Pierre-Louis Lions , Nizar Touzi

Publication date Created: August 1 1999

Publication date (Print): August 1 1999

Journal: Finance and Stochastics

Publisher: Springer Nature

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Journal ID (publisher-id): 780

Title: Finance and Stochastics

Abbreviated Title: Finance and Stochastics

Publisher: Springer Nature

ISSN (Print): 0949-2984

ISSN (Electronic): 1432-1122

Publication date Created: August 1 1999

Publication date (Print): August 1 1999

Volume: 3

Issue: 4

Pages: 391-412

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DOI: 10.1007/s007800050068

SO-VID: 735b61a0-ca12-4e40-baba-d2302ddd09cb

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Applications of Malliavin calculus to Monte Carlo methods in finance

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