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Estimating multidimensional density functions using the Malliavin-Thalmaier formula

dc.contributor.authorKohatsu Higa, Arturo
dc.contributor.authorYasuda, Kazuhiro
dc.date.accessioned2017-09-25T21:46:40Z
dc.date.available2017-09-25T21:46:40Z
dc.date.issued2007es_ES
dc.identifier.urihttp://revistas.pucp.edu.pe/index.php/promathematica/article/view/10249/10694
dc.description.abstractEl artículo no presenta resumenes_ES
dc.description.abstractThe Malliavin-Thalmaier formula was introduced for simulation of high dimensional probability density functions. But when this integration by parts formula is applied directly in computer simulations, we show that it is unstable. We propose an approximation to the Malliavin-Thalmaier formula. In this paper, we find the order of the bias and the variance of the approximation error. And we obtain an explicit Malliavin-Thalmaier formula for the calculation of Greeks in finance. The weights obtained are free from the curse of dimensionality.en_US
dc.formatapplication/pdf
dc.language.isospa
dc.publisherPontificia Universidad Católica del Perúes_ES
dc.relation.ispartofurn:issn:2305-2430
dc.relation.ispartofurn:issn:1012-3938
dc.rightsAttribution 4.0 International*
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/4.0*
dc.sourcePro Mathematica; Vol. 21, Núm. 41-42 (2007)es_ES
dc.subjectMalliavin Calculuses_ES
dc.subjectFinancial Engineeringes_ES
dc.subjectGreekses_ES
dc.subjectSensitivity Analysises_ES
dc.subjectDensity Estimationes_ES
dc.titleEstimating multidimensional density functions using the Malliavin-Thalmaier formulaes_ES
dc.typeinfo:eu-repo/semantics/article
dc.type.otherArtículo
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#1.01.00
dc.publisher.countryPE


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Attribution 4.0 International
Except where otherwise noted, this item's license is described as Attribution 4.0 International