Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks-Reference-Cited by-同舟云学术

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Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Scoleri Stefano,Bianchetti Marco,Kucherenko Sergei

Publisher

Elsevier BV

Reference44 articles.

1. Estimating security price derivatives using simulation;Mark Broadie;Management Science,1996

2. Better Pricing and Risk Management with High Dimensional Quasi Monte Carlo;Marco Bianchetti;WBS 10th Fixed Income Conference,2014

3. Pricing and Risk Management with High-Dimensional Quasi-Monte Carlo and Global Sensitivity Analysis

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