Monte Carlo pathwise sensitivities for barrier options
Thomas Gerstner, Bastian Harrach and Daniel Roth
| Year of publication: |
2020
|
|---|---|
| Authors: | Gerstner, Thomas ; Harrach, Bastian von ; Roth, Daniel |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 5, p. 75-99
|
| Subject: | Monte Carlo | discretely monitored barrier options | pathwise sensitives | CoCo bond | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.385 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295868