Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
Year of publication: |
2017
|
---|---|
Authors: | Scoleri, Stefano |
Other Persons: | Bianchetti, Marco (contributor) ; Kucherenko, Sergei (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Sensitivitätsanalyse | Sensitivity analysis | Griechenland | Greece | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (48 p) |
---|---|
Series: | Wilmott ; volume 2021, issue 116, November 2021, pages 66-83 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 5, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2911698 [DOI] |
Classification: | C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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