ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS
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Publication:5258043
DOI10.12941/jksiam.2014.18.061zbMath1375.91242MaRDI QIDQ5258043
Junseok Kim, Yibao Li, Hyoungseok Hwang, Seunggyu Lee, Yongho Choi
Publication date: 25 June 2015
Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.12941/jksiam.2014.18.061
91G60: Numerical methods (including Monte Carlo methods)
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