FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS (Q2847241): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS |
scientific article |
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FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS (English)
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4 September 2013
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price sensitivities
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Monte Carlo Greeks
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partial proxy simulation scheme
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minimal partial proxy simulation scheme
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pathwise methods
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trigger product
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discontinuous pay-off
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digital option
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target redemption note
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LIBOR market model
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