Quasi-Monte Carlo simulation for American option sensitivities (Q2146323)

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Quasi-Monte Carlo simulation for American option sensitivities
scientific article

    Statements

    title
    Quasi-Monte Carlo simulation for American option sensitivities (English)
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    author
    Jiangming Xiang
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    Xiaoqun Wang
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    publication date
    16 June 2022
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    zbMATH Keywords
    American option greeks
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    quasi-Monte Carlo
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    dimension reduction
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    65D30
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    91G20
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    60G40
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    zbMATH DE Number
    7542677
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