Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
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 |
-
Xie, Fei, (2019)
-
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori, (2017)
-
Computing deltas without derivatives
Baños, D., (2017)
- More ...
-
Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction
Wang, Xiaoqun, (2013)
-
Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction
Wang, Xiaoqun, (2013)
-
Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing
Wang, Xiaoqun, (2009)
- More ...