Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs (Q4682698)
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scientific article; zbMATH DE number 6938918
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs |
scientific article; zbMATH DE number 6938918 |
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Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs (English)
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19 September 2018
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Greeks
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Monte Carlo simulation
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derivatives pricing
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Hessian
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