Accelerating pathwise Greeks in the LIBOR market model
Mark Joshi; Alexander Wiguna
| Year of publication: |
2012
|
|---|---|
| Authors: | Joshi, Mark S. ; Wiguna, Alexander |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 2, p. 1-33
|
| Subject: | LIBOR market model | sensitivity analysis | Monte Carlo simulation | automatic differentiation | Bermudan options | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Derivat | Derivative | Zinsderivat | Interest rate derivative | Währungsderivat | Currency derivative | Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009624523