Efficient and Unbiased Greeks of Rainbow Options with Importance Sampling
Resource
Proceedings of the Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Montreal, Canada, June 6–June 11, 2008
Journal
Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
Pages
-
Date Issued
2008
Date
2008
Author(s)
Huei-Wen Teng
Description
Montreal, Canada
Type
conference paper