Unbiased and efficient Greeks of financial options

Yuh-Dauh Lyuu and Huei-Wen Teng ()

Finance and Stochastics, 2011, vol. 15, issue 1, 181 pages

Keywords: Option pricing; Rainbow options; Path-dependent options; Monte Carlo simulation; Greeks; Importance sampling; 65C05; 65D25; 65L12; C02; C15; G13 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00780-010-0137-5

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