Likelihood ratio method and algorithmic differentiation: fast second order Greeks

DOI10.3233/AF-150045zbMATH Open1395.91491OpenAlexW3125713469MaRDI QIDQ4586447FDOQ4586447

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

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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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