Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options (Q4409040): Difference between revisions

@@ Property / author @@
-Arturo Kohatsu-Higa
@@ Property / author: Arturo Kohatsu-Higa / rank @@
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@@ Property / author @@
+Arturo Kohatsu-Higa
@@ Property / author: Arturo Kohatsu-Higa / rank @@
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+W2099081724
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@@ Property / cites work @@
+Hedging lookback and partial lookback options using Malliavin calculus
+Normal rank
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+Estimating Security Price Derivatives Using Simulation
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+Q5665949
@@ Property / cites work: Q5665949 / rank @@
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+Some Guidelines and Guarantees for Common Random Numbers
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+Euler schemes and half-space approximation for the simulation of diffusion in a domain
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@@ Property / cites work @@
+Computation of Greeks for barrier and look-back options using Malliavin calculus
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+A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
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+On the Convergence Rates of IPA and FDC Derivative Estimators
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+Q4842684
@@ Property / cites work: Q4842684 / rank @@
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@@ Property / cites work @@
+Q3796495
@@ Property / cites work: Q3796495 / rank @@
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+Publication:4409040