Vibrato Monte Carlo Sensitivities (Q3405448)

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Vibrato Monte Carlo Sensitivities
scientific article

    Statements

    title
    Vibrato Monte Carlo Sensitivities (English)
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    author
    Michael B. Giles
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    publication date
    15 February 2010
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    zbMATH Keywords
    vibrato Monte Carlo
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    likelihood ratio method (LRM)
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    Greeks
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    sensitivities
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G70
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    zbMATH DE Number
    5671506
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