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"Monte Carlo Greeks for Financial Products via Approximative Transition ..."

Jörg Kampen, Anastasia Kolodko, John Schoenmakers (2008)

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DOI: 10.1137/070682198

access: closed

type: Journal Article

metadata version: 2020-07-30

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  - journals/siamsc/KampenKS08
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  - https://dblp.org/rec/journals/siamsc/KampenKS08
Jörg Kampen, Anastasia Kolodko, John Schoenmakers:
Monte Carlo Greeks for Financial Products via Approximative Transition Densities. SIAM J. Sci. Comput. 31(1): 1-22 (2008)

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