Fast Greeks by simulation: the block adjoint method with memory reduction

DOI10.1016/j.cam.2014.07.005zbMath1307.91190OpenAlexW1980237550MaRDI QIDQ399079

Wenbin Hu, Sheng-Hong Li

Publication date: 19 August 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.005

zbMATH Keywords

sensitivityMonte Carloadjointblock simulationmemory reduction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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