Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model (Q5039630)
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scientific article; zbMATH DE number 7595443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model |
scientific article; zbMATH DE number 7595443 |
Statements
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model (English)
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30 September 2022
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worst-of-all autocallable
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Greeks computation
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Monte Carlo simulation
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path-wise differentiation
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one-step survival
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