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zbMath1250.91102MaRDI QIDQ2919950

Chao Yang, Mark S. Joshi

Publication date: 23 October 2012

Full work available at URL: http://iospress.metapress.com/content/06v3m25587660uu2/fulltext.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Delta Monte Carlo simulation market model adjoint method computational order Vega

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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