Investigation into Vibrato Monte Carlo for the Computation of
Greeks of Discontinuous Payoffs

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...

Полное описание

Библиографические подробности
Главный автор:	Burgos, S
Формат:	Диссертация
Опубликовано:	Mathematical Institute;University of Oxford 2009

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