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

@@ Property / author @@
-Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
-Normal rank
@@ Property / author @@
+Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2014.07.005
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+W1980237550
@@ Property / OpenAlex ID: W1980237550 / rank @@
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@@ Property / cites work @@
+Q3084851
@@ Property / cites work: Q3084851 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating Derivatives
@@ Property / cites work: Evaluating Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing multi-asset American-style options by memory reduction Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes
+Normal rank
@@ Property / cites work @@
+The forward-path method for pricing multi-asset American-style options under general diffusion processes
+Normal rank
@@ Property / cites work @@
+Implicit Taylor methods for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On the computation of option prices and Greeks under the CEV model
+Normal rank