Fast Greeks by simulation: the block adjoint method with memory reduction (Q399079): Difference between revisions

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+Q3084851
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+Evaluating Derivatives
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+Pricing multi-asset American-style options by memory reduction Monte Carlo methods
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+Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes
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+The forward-path method for pricing multi-asset American-style options under general diffusion processes
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+Implicit Taylor methods for stiff stochastic differential equations
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+On the computation of option prices and Greeks under the CEV model
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