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Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks : Finite Differences vs. AAD
Scoleri, Stefano; Bianchetti, Marco; Kucherenko, Sergei - In: Wilmott 2021 (2021) 116, pp. 66-83
Persistent link: https://www.econbiz.de/10012808851
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Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo
Hok, Julien; Kucherenko, Sergei - In: Wilmott 2021 (2021) 113, pp. 62-69
Persistent link: https://www.econbiz.de/10012633568
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Comparing Option Pricing Methods in q
Morgan, Deanna; Kucherenko, Sergei - In: Wilmott 2020 (2020) 109, pp. 58-69
Persistent link: https://www.econbiz.de/10012407828
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The importance of being scrambled : supercharged quasi-Monte Carlo
Kucherenko, Sergei; Hok, Julien - In: Journal of risk : JOR 26 (2023) 1, pp. 27-46
Persistent link: https://www.econbiz.de/10014487277
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Learning Bermudans
Aiolfi, Riccardo; Moreni, Nicola; Bianchetti, Marco; … - In: Computational economics 64 (2024) 5, pp. 2813-2852
Persistent link: https://www.econbiz.de/10015144081