Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Year of publication: |
September 2018
|
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Authors: | Pagès, Gilles ; Pironneau, Olivier ; Sall, Guillaume |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 2, p. 1-34
|
Subject: | financial securities | risk assessment | Greeks | Monte Carlo | automatic differentiation (AD) | vibrato | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Griechenland | Greece |
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