Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model (Q5039630): Difference between revisions
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| Property / cites work: Conditioning on One-Step Survival for Barrier Option Simulations / rank | |||
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| Property / cites work: CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES / rank | |||
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| Property / cites work: On the perturbation of LU and Cholesky factors / rank | |||
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| Property / cites work: Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives / rank | |||
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Latest revision as of 06:22, 30 July 2024
scientific article; zbMATH DE number 7595443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model |
scientific article; zbMATH DE number 7595443 |
Statements
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model (English)
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30 September 2022
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worst-of-all autocallable
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Greeks computation
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Monte Carlo simulation
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path-wise differentiation
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one-step survival
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