Quasi-Monte Carlo simulation for American option sensitivities (Q2146323): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.cam.2022.114268 / rank
 
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Latest revision as of 08:02, 29 July 2024

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Quasi-Monte Carlo simulation for American option sensitivities
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    Quasi-Monte Carlo simulation for American option sensitivities (English)
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    16 June 2022
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    American option greeks
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    quasi-Monte Carlo
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    dimension reduction
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