A generalisation of Malliavin weighted scheme for fast computation of the Greeks
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More about this item
Keywords
Monte-Carlo; quasi-Monte Carlo; Greeks; Malliavin calculus; Wiener chaos;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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