Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

  1. Jain, S.
  2. Leitao, Á.
  3. Oosterlee, C.W.
Journal:
Journal of Computational Science

ISSN: 1877-7503

Year of publication: 2019

Volume: 33

Pages: 95-112

Type: Article

DOI: 10.1016/J.JOCS.2019.03.001 GOOGLE SCHOLAR

Sustainable development goals

Data source: Scopus