Petroni, Nicola Cufaro; Sabino, Piergiacomo - In: Decisions in Economics and Finance 36 (2013) 2, pp. 199-224
The aim of this paper is extensively investigate the performance of the estimators for the Greeks of multidimensional complex path-dependent options obtained by the aid of Malliavin Calculus. The study analyses both the computation effort and the variance reduction in the Quasi-Monte Carlo...