Computing Greeks using multilevel path simulation (Q5326111)
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scientific article; zbMATH DE number 6193366
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Computing Greeks using multilevel path simulation |
scientific article; zbMATH DE number 6193366 |
Statements
Computing Greeks Using Multilevel Path Simulation (English)
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31 July 2013
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risk measures
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multilevel Monte Carlo method
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pathwise sensitivity analysis
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0.8233566284179688
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0.8169562220573425
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0.8169378042221069
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0.8155473470687866
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0.8147990107536316
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