ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS (Q4571698)
From MaRDI portal
scientific article; zbMATH DE number 6897609
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS |
scientific article; zbMATH DE number 6897609 |
Statements
ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS (English)
0 references
29 June 2018
0 references
sensitivities
0 references
Greeks
0 references
algorithmic differentiation
0 references
adjoints
0 references
pathwise differentiation
0 references
derivatives pricing
0 references
discontinuous payoffs
0 references
digital options
0 references
barrier options
0 references
