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An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options

An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-696
Other Libraries in Japan
  • Subject Heading...otic expansion Malliavin weight

On Pricing Barrier Options with Discrete Monitoring

On Pricing Barrier Options with Discrete Monitoring
Paper文書・図像類
Shiraya, Kenichiro, Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-725
Other Libraries in Japan
  • Subject Heading...iavin calculus Malliavin weight

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2011-11Discussion paper series. CIRJE-FCIRJE-F-824
Other Libraries in Japan
  • Subject Heading...ation-by-parts Malliavin weight Push-down Malliavin calculus ...

An Asymptotic Expansion with Push-Down of Malliavin Weights

An Asymptotic Expansion with Push-Down of Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2009-12Discussion paper series. CIRJE-FCIRJE-F-695
Other Libraries in Japan
  • Subject Heading...ation-by-parts Malliavin weight Push-down Bismut identity

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