ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL
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Publication:2882688
DOI10.1142/S0219024912500124zbMath1282.91375OpenAlexW3125683903MaRDI QIDQ2882688
Mark S. Joshi, Alexander Wiguna
Publication date: 7 May 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500124
sensitivity analysisautomatic differentiationMonte Carlo simulationLIBOR market modelBermudan options
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- New and robust drift approximations for the LIBOR market model
- Evaluating Derivatives
- Estimating Security Price Derivatives Using Simulation
- The Market Model of Interest Rate Dynamics
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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