Multidimensional quasi-Monte Carlo Malliavin Greeks

DOI10.1007/s10203-011-0125-zzbMath1345.91082arXiv1103.5722OpenAlexW2151898017MaRDI QIDQ377789

Piergiacomo Sabino, Nicola Cufaro Petroni

Publication date: 7 November 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.5722

zbMATH Keywords

Malliavin calculusquasi-Monte Carlo methodsGreeksrisk-management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Forward or backward simulation? A comparative study

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