Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks (Q4586447)
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scientific article; zbMATH DE number 6935945
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks |
scientific article; zbMATH DE number 6935945 |
Statements
Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks (English)
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13 September 2018
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adjoint algorithmic differentiation
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Monte Carlo
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derivatives securities
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risk management
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