Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)
Year of publication: |
2005-04-12
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Authors: | Fries, Christian P. ; Kampen, Joerg |
Institutions: | EconWPA |
Subject: | Monte-Carlo | Likelihood Ratio | Malliavin Calculus | Sensitivities | Greeks |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 27 27 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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