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Option Sensitivity Simulation by Malliavin Calculus and Quasi-Monte Carlo Methods.

Yongjia XuYongzeng LaiYan Zeng
Published in: BIFE (2012)
Keyphrases
  • monte carlo methods
  • low discrepancy sequences
  • monte carlo
  • monte carlo method
  • bayesian networks
  • markov chain
  • dynamic programming
  • simulated annealing
  • mathematical model