Monte Carlo evaluation of sensitivities in computational finance.
In computational finance, Monte Carlo simulation is used to compute the correct prices for financial options. More important, however, is the ability to compute the so-called “Greeks”, the first and second order derivatives of the prices with respect to input parameters such as the current asset pri...
| מחבר ראשי: | |
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| פורמט: | Working paper |
| שפה: | English |
| יצא לאור: |
Oxford-Man Institute of Quantitative Finance
2007
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