Efficient and Unbiased Greeks of Rainbow and Path-Dependent Options Using Importance Sampling

Yuh-Dauh LyuuHuei-Wen Teng2010-10-292018-07-052010-10-292018-07-052008http://ntur.lib.ntu.edu.tw//handle/246246/219661San Antonio, Texasen-USEfficient and Unbiased Greeks of Rainbow and Path-Dependent Options Using Importance Samplingconference paper