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Importance Sampling for Option Greeks with Discontinuous Payoffs - MaRDI portal

Importance Sampling for Option Greeks with Discontinuous Payoffs (Q3186649)

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English
Importance Sampling for Option Greeks with Discontinuous Payoffs
scientific article

    Statements

    title
    Importance Sampling for Option Greeks with Discontinuous Payoffs (English)
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    author
    Shaolong Tong
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    Guangwu Liu
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    publication date
    12 August 2016
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    zbMATH Keywords
    simulation
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    importance sampling
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    risk management
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    Greek letters
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    Identifiers

    zbMATH DE Number
    6616465
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    OpenAlex ID
    W2278747027
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