A systematic and efficient simulation scheme for the Greeks of financial derivatives (Q5234352)
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scientific article; zbMATH DE number 7110473
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A systematic and efficient simulation scheme for the Greeks of financial derivatives |
scientific article; zbMATH DE number 7110473 |
Statements
A systematic and efficient simulation scheme for the Greeks of financial derivatives (English)
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26 September 2019
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Greeks
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Dirac delta function
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variance-gamma processes
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jump-diffusion processes
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credit derivatives
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Monte Carlo simulation
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