A systematic and efficient simulation scheme for the Greeks of financial derivatives

DOI10.1080/14697688.2018.1562196zbMath1420.91473OpenAlexW2914953027MaRDI QIDQ5234352

Yuh-Dauh Lyuu, Shengxiang Wang, Huei-Wen Teng, Yao-Te Tseng

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1562196

zbMATH Keywords

Monte Carlo simulationcredit derivativesjump-diffusion processesDirac delta functionGreeksvariance-gamma processes

Mathematics Subject Classification ID

Uses Software

• QRM

Cites Work

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