Unbiased and efficient Greeks of financial options
type: Item
instance of: scholarly article
title: Unbiased and efficient Greeks of financial options
zbMATH Open document ID: 1303.91191
author: Yuh-Dauh Lyuu
author: Huei-Wen Teng
published in: Finance and Stochastics
publication date: 2014-12-17T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6381306
zbMATH Keywords: option pricing
zbMATH Keywords: rainbow options
zbMATH Keywords: path-dependent options
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: Greeks
zbMATH Keywords: importance sampling
MaRDI profile type: Publication
full work available at URL: s00780-010-0137-5
OpenAlex ID: W1972162256
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DOI: 10.1007/S00780-010-0137-5
description: scientific article; zbMATH DE number 6381306