FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS (Q2847241): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Optimal Malliavin Weighting Function for the Computation of the Greeks / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Market Model of Interest Rate Dynamics / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Estimating Security Price Derivatives Using Simulation / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Mathematical Finance / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Evaluating Derivatives / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Kernel Estimation of the Greeks for Options with Discontinuous Payoffs / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4821330 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A Unified View of the IPA, SF, and LR Gradient Estimation Techniques / rank | |||
Normal rank | |||
Latest revision as of 19:51, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS |
scientific article |
Statements
FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS (English)
0 references
4 September 2013
0 references
price sensitivities
0 references
Monte Carlo Greeks
0 references
partial proxy simulation scheme
0 references
minimal partial proxy simulation scheme
0 references
pathwise methods
0 references
trigger product
0 references
discontinuous pay-off
0 references
digital option
0 references
target redemption note
0 references
LIBOR market model
0 references
