Uncertainty Quantification of Derivative Instruments

DOI10.4208/eajam.100316.270117azbMath1377.62200OpenAlexW3121525758MaRDI QIDQ5372104

Michèle Vanmaele, Xianming Sun

Publication date: 24 October 2017

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.100316.270117a

zbMATH Keywords

entropyMonte Carloparameter uncertaintyderivative pricingSmolyak algorithm

Mathematics Subject Classification ID

Uses Software

• Spinterp
• BENCHOP

Cites Work

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• Estimate nothing
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