Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks : Finite Differences vs. AAD
| Year of publication: |
2021
|
|---|---|
| Authors: | Scoleri, Stefano ; Bianchetti, Marco ; Kucherenko, Sergei |
| Published in: |
Wilmott. - Wilmott Magazine Ltd, ISSN 1541-8286, ZDB-ID 2646544-9. - Vol. 2021.2021, 116 (22.11.), p. 66-83
|
| Publisher: |
Wilmott Magazine Ltd |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Other identifiers: | 10.1002/wilm.10972 [DOI] |
| Source: | Other ZBW resources |
Persistent link: https://www.econbiz.de/10012808851