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Some simulation results on the computation of delta of path-dependent options using a discrete version of Clark-Ocone formula. (English) Zbl 1239.91178

Proceedings of the 42nd ISCIE international symposium on stochastic systems theory and its applications, Okayama, Japan, November 26–27, 2010. Kyoto: The Institute of Systems, Control and Information Engineers (ISCIE) (ISBN 978-4-915740-52-7). 121-126 (2011).
MSC:  91G60 65C20
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