Computation of Greeks for barrier and look-back options using Malliavin calculus.
Gobet, Emmanuel ; Kohatsu-Higa, Arturo
Electronic Communications in Probability [electronic only], Tome 8 (2003), p. 51-62 / Harvested from The Electronic Library of Mathematics
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Publié le : 2003-01-01
EUDML-ID : urn:eudml:doc:124580 
@article{02145754,
     title = {Computation of Greeks for barrier and look-back options using Malliavin calculus.},
     journal = {Electronic Communications in Probability [electronic only]},
     volume = {8},
     year = {2003},
     pages = {51-62},
     zbl = {1061.60054},
     language = {en},
     url = {http://dml.mathdoc.fr/item/02145754}
}

Gobet, Emmanuel; Kohatsu-Higa, Arturo. Computation of Greeks for barrier and look-back options using Malliavin calculus.. Electronic Communications in Probability [electronic only], Tome 8 (2003) pp. 51-62. http://gdmltest.u-ga.fr/item/02145754/