Algorithmic differentiation for discontinuous payoffs
Roberto Daluiso and Giorgio Facchinetti
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Daluiso, Roberto ; Facchinetti, Giorgio |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 4, p. 1-41
|
| Subject: | Sensitivities | Greeks | algorithmic differentiation | adjoints | pathwise differentiation | derivatives pricing | discontinuous payoffs | digital options | barrier options | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491850019X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011891863