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ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS - MaRDI portal

ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS (Q4571698)

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scientific article; zbMATH DE number 6897609
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ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS
scientific article; zbMATH DE number 6897609

    Statements

    title
    ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS (English)
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    author
    Roberto Daluiso
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    Giorgio Facchinetti
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    publication date
    29 June 2018
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    zbMATH Keywords
    sensitivities
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    Greeks
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    algorithmic differentiation
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    adjoints
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    pathwise differentiation
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    derivatives pricing
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    discontinuous payoffs
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    digital options
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    barrier options
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    60H07
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    91G20
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    zbMATH DE Number
    6897609
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    OpenAlex ID
    W2611857844
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