Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
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Publication:4586447
DOI10.3233/AF-150045zbMath1395.91491MaRDI QIDQ4586447
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
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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