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Quantum-inspired variational algorithms for partial differential equations : application to financial derivative pricing

Zhao, Tianchen; Sun, Chuhao; Cohen, Asaf; Stokes, James; … - In: Quantitative finance 24 (2024) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10014551890

Calculating variable annuity liability "Greeks" using Monte Carlo simulation

Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266

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The efficient application of automatic differentiation for computing gradients in financial applications

Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96

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Computation of Greeks for jump-diffusion models

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Valuation of American Options : Monte-Carlo Simulation and Mathematical Approximation Methods

Animante, David - 2016

The use of American style equity options as hedging instrument has gained currency in recent times. This phenomenon devolves from the ever-expanding need by individuals, corporations and governments to hedge away their financial risks and the clarion call for derivative securities that give the...

Persistent link: https://www.econbiz.de/10012993420