ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL (Q2882688): Difference between revisions
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Latest revision as of 10:38, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL |
scientific article |
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ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL (English)
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7 May 2012
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LIBOR market model
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sensitivity analysis
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Monte Carlo simulation
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automatic differentiation
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Bermudan options
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