CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES (Q5242952)
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scientific article; zbMATH DE number 7128188
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES |
scientific article; zbMATH DE number 7128188 |
Statements
CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES (English)
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8 November 2019
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Monte Carlo
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autocallable
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variance reduction
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sensitivities
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Greeks
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