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Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods.

Yongjia XuYongzeng LaiHaixiang Yao
Published in: Appl. Math. Comput. (2014)
Keyphrases
  • monte carlo methods
  • monte carlo
  • low discrepancy sequences
  • bayesian networks
  • learning algorithm
  • multiscale
  • support vector
  • probabilistic model
  • model selection
  • mathematical model