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 / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6331324
@@ Property / zbMATH DE Number: 6331324 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Monte Carlo
@@ Property / zbMATH Keywords: Monte Carlo / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+block simulation
@@ Property / zbMATH Keywords: block simulation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+sensitivity
@@ Property / zbMATH Keywords: sensitivity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+adjoint
@@ Property / zbMATH Keywords: adjoint / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+memory reduction
@@ Property / zbMATH Keywords: memory reduction / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2014.07.005
+Normal rank
@@ Property / OpenAlex ID @@
+W1980237550
@@ Property / OpenAlex ID: W1980237550 / rank @@
+Normal rank
@@ 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
@@ links / mardi / name / links / mardi / name @@
+Publication:399079