A Comparison Of Gradient Estimation Techniques For European Call Options
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References listed on IDEAS
- Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components1," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55, October.
- Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.
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- Michael C. Fu, 2008. "What you should know about simulation and derivatives," Naval Research Logistics (NRL), John Wiley & Sons, vol. 55(8), pages 723-736, December.
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More about this item
Keywords
Greeks; IPA; LR; Variance-Gamma;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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