Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks (Q4586447)
From MaRDI portal
scientific article; zbMATH DE number 6935945
Language | Label | Description | Also known as |
---|---|---|---|
English | Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks |
scientific article; zbMATH DE number 6935945 |
Statements
Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks (English)
0 references
13 September 2018
0 references
adjoint algorithmic differentiation
0 references
Monte Carlo
0 references
derivatives securities
0 references
risk management
0 references