Computational methods - Adjoint Greeks made easy - The authors show how algorithmic differentiation can be used to systematically implement the adjoint calculation of sensitivities in Monte Carlo for general path-dependent and multi-asset options, with minimal analytical effort. With several examples, they illustrate the workings of this technique and demonstrate how it can be straightforwardly ...
| Year of publication: |
2012
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|---|---|
| Authors: | Capriotti, Luca ; Giles, Michael |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 25.2012, 9, p. 92-92
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