Simulated Greeks for American options (Q6158428)

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scientific article; zbMATH DE number 7698402
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English
Simulated Greeks for American options
scientific article; zbMATH DE number 7698402

    Statements

    title
    Simulated Greeks for American options (English)
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    author
    P. Létourneau
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    Lars Stentoft
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    publication date
    20 June 2023
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    zbMATH Keywords
    hedging
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    least squares Monte Carlo method
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    price sensitivities
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    cites work
    Q5641856
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    Q4328415
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    Q3125064
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    Q4433608
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    Q3996430
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    Identifiers

    zbMATH DE Number
    7698402
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