Multidimensional quasi-Monte Carlo Malliavin Greeks
Year of publication: |
2013
|
---|---|
Authors: | Cufaro Petroni, Nicola ; Sabino, Piergiacomo |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 36.2013, 2, p. 199-224
|
Subject: | Greeks | risk management | Quasi-Monte Carlo methods | Malliavin calculus | Risikomanagement | Risk management | Griechenland | Greece | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
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