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Search: subject:"Pathwise method"
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Monte Carlo simulation
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Astin bulletin : the journal of the International Actuarial Association
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Quasi-Monte Carlo-based conditional
pathwise
method
for option Greeks
Zhang, Chaojun
;
Wang, Xiaoqun
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 49-67
Persistent link: https://www.econbiz.de/10012194854
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2
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
Persistent link: https://www.econbiz.de/10011312287
Saved in:
3
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong
;
Glasserman, Paul
- In:
Finance and Stochastics
12
(
2008
)
4
,
pp. 507-540
Persistent link: https://www.econbiz.de/10005166854
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