Importance sampling for option Greeks with discontinuous payoffs (Q3186649)
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scientific article; zbMATH DE number 6616465
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Importance sampling for option Greeks with discontinuous payoffs |
scientific article; zbMATH DE number 6616465 |
Statements
Importance Sampling for Option Greeks with Discontinuous Payoffs (English)
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12 August 2016
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simulation
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importance sampling
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risk management
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Greek letters
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0.8636707663536072
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0.8455049395561218
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0.8420278429985046
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0.8294453024864197
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0.7861918807029724
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