Pages that link to "Item:Q2847241"
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The following pages link to Fast Monte Carlo Greeks for financial products with discontinuous pay-offs (Q2847241):
Displaying 8 items.
- Fast Greeks by simulation: the block adjoint method with memory reduction (Q399079) (← links)
- Accelerating pathwise Greeks in the LIBOR market model (Q2882688) (← links)
- Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo (Q2940072) (← links)
- Importance Sampling for Option Greeks with Discontinuous Payoffs (Q3186649) (← links)
- Quasi-Monte Carlo-based conditional pathwise method for option Greeks (Q5215438) (← links)
- Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations (Q5234330) (← links)
- A systematic and efficient simulation scheme for the Greeks of financial derivatives (Q5234352) (← links)
- Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing (Q6158396) (← links)