The computation of Greeks with multilevel Monte Carlo
<p>In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk. Computing these is essential to predict the impact of market moves on portfolios and to hedge them adequately. This is com...
Main Author: | |
---|---|
Other Authors: | |
Format: | Thesis |
Language: | English |
Published: |
2014
|
Subjects: |