Browsing Produção Intelectual em Bases Externas by Author "Jazaerli, Samy"
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Functional Itô calculus, path-dependence and the computation of Greeks
Jazaerli, Samy; Saporito, Yuri Fahham
2017-12Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...


