Second-order Monte Carlo sensitivities
Year of publication: |
2020
|
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Authors: | Daluiso, Roberto |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 4, p. 61-91
|
Subject: | Greeks | Gamma | algorithmic differentiation | derivatives pricing | distributional derivative | functional derivative | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Griechenland | Greece |
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