Importance Sampling for Option Greeks with Discontinuous Payoffs (Q3186649): Difference between revisions

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Property / DOI: 10.1287/ijoc.2015.0674 / rank
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Latest revision as of 20:54, 20 December 2024

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Importance Sampling for Option Greeks with Discontinuous Payoffs
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    Importance Sampling for Option Greeks with Discontinuous Payoffs (English)
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    12 August 2016
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    simulation
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    importance sampling
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    risk management
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    Greek letters
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