Multidimensional quasi-Monte Carlo Malliavin Greeks
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Publication:377789
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
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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