Computing Greeks Using Multilevel Path Simulation (Q5326111)
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scientific article; zbMATH DE number 6193366
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing Greeks Using Multilevel Path Simulation |
scientific article; zbMATH DE number 6193366 |
Statements
Computing Greeks Using Multilevel Path Simulation (English)
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31 July 2013
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risk measures
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multilevel Monte Carlo method
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pathwise sensitivity analysis
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