Quasi-Monte Carlo-based conditional pathwise method for option Greeks
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Publication:5215438
DOI10.1080/14697688.2019.1600714zbMath1431.91437OpenAlexW2942524225MaRDI QIDQ5215438
Publication date: 10 February 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1600714
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
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