CITIC - Centre for Information and Communications Technology Research
Research Center and Specialization Campus
Indian Institute of Science Bangalore
Bangalore, IndiaPublications in collaboration with researchers from Indian Institute of Science Bangalore (2)
2019
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BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
International Journal of Computer Mathematics, Vol. 96, Núm. 10, pp. 1910-1923
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Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
Journal of Computational Science, Vol. 33, pp. 95-112