Quasi-Monte Carlo-based conditional pathwise method for option Greeks
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Publication:5215438
DOI10.1080/14697688.2019.1600714zbMath1431.91437MaRDI QIDQ5215438
Publication date: 10 February 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1600714
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)