Investigation into Vibrato Monte Carlo for the Computation of Greeks of Discontinuous Payoffs
Monte Carlo simulation is a popular method in computational finance. Its basic theory is relatively simple, it is also quite easy to implement and allows nevertheless an efficient pricing of financial options, even in high-dimensional problems (basket options, interest rates products...). The prici...
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| Médium: | Diplomová práce |
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Mathematical Institute;University of Oxford
2009
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