Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Chao Yu, Xiaoqun Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Yu, Chao ; Wang, Xiaoqun |
| Subject: | Dimension reduction | Malliavin calculus | Quasi-Monte Carlo | Smoothing | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10257-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327500