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Multidimensional quasi-Monte Carlo Malliavin Greeks - MaRDI portal

Multidimensional quasi-Monte Carlo Malliavin Greeks (Q377789)

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Multidimensional quasi-Monte Carlo Malliavin Greeks
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    title
    Multidimensional quasi-Monte Carlo Malliavin Greeks (English)
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    author
    Nicola Cufaro Petroni
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    Piergiacomo Sabino
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    publication date
    7 November 2013
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    60H07
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    zbMATH DE Number
    6223500
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    zbMATH Keywords
    Greeks
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    risk-management
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    quasi-Monte Carlo methods
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    Malliavin calculus
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    OpenAlex ID
    W2151898017
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    arXiv ID
    1103.5722
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