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    110views Modeling And Simulation» more  WSC 2008»
    Reducing the variance of likelihood ratio greeks in Monte Carlo
    14 years 1 months ago
    Reducing the variance of likelihood ratio greeks in Monte Carlo
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    We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...
    Luca Capriotti
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