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"Efficient simulation of Greeks of multiasset European and Asian style ..."

Yongjia Xu, Yongzeng Lai, Haixiang Yao (2014)

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DOI: 10.1016/J.AMC.2014.03.057

access: closed

type: Journal Article

metadata version: 2020-02-21

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Yongjia Xu, Yongzeng Lai, Haixiang Yao:
Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods. Appl. Math. Comput. 236: 493-511 (2014)

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