Accelerating pathwise Greeks in the LIBOR market model (Q2882688)
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scientific article; zbMATH DE number 6031398
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Accelerating pathwise Greeks in the LIBOR market model |
scientific article; zbMATH DE number 6031398 |
Statements
7 May 2012
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LIBOR market model
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sensitivity analysis
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Monte Carlo simulation
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automatic differentiation
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Bermudan options
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Accelerating pathwise Greeks in the LIBOR market model (English)
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