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...

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書目詳細資料
主要作者: Burgos, S
其他作者: Giles, M
格式: Thesis
語言:English
出版: 2014
主題: