Fast Greeks by simulation: the block adjoint method with memory reduction (Q399079)

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Fast Greeks by simulation: the block adjoint method with memory reduction
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    title
    Fast Greeks by simulation: the block adjoint method with memory reduction (English)
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    author
    Wenbin Hu
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    Sheng-Hong Li
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    publication date
    19 August 2014
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    zbMATH DE Number
    6331324
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    zbMATH Keywords
    Monte Carlo
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    block simulation
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    sensitivity
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    adjoint
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    memory reduction
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