Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Firuz Rakhmonov, Parviz Rakhmonov
| Year of publication: |
2019
|
|---|---|
| Authors: | Rakhmonov, Firuz ; Rakhmonov, Parviz |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 6, p. 1-13
|
| Subject: | Monte Carlo | autocallable | variance reduction | sensitivities | greeks | Monte-Carlo-Simulation | Monte Carlo simulation | Griechenland | Greece | Theorie | Theory | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500286 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153309