Likelihood ratio method and algorithmic differentiation: fast second order Greeks

DOI10.3233/AF-150045MaRDI QIDQ4586447zbMATH OpenOpenAlexFDO

Authors Luca Capriotti

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-150045

zbMATH Keywords

Monte Carlorisk managementderivatives securitiesadjoint algorithmic differentiation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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