Fast Greeks by simulation: the block adjoint method with memory reduction (Q399079): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Q3084851 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Evaluating Derivatives / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Pricing multi-asset American-style options by memory reduction Monte Carlo methods / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The forward-path method for pricing multi-asset American-style options under general diffusion processes / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Implicit Taylor methods for stiff stochastic differential equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the computation of option prices and Greeks under the CEV model / rank | |||
Normal rank |
Latest revision as of 22:39, 8 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Fast Greeks by simulation: the block adjoint method with memory reduction |
scientific article |
Statements
Fast Greeks by simulation: the block adjoint method with memory reduction (English)
0 references
19 August 2014
0 references
Monte Carlo
0 references
block simulation
0 references
sensitivity
0 references
adjoint
0 references
memory reduction
0 references
0 references
0 references