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    Monte Carlo Greeks for Financial Products via Approximative Transition Densities
    13 years 11 months ago
    Monte Carlo Greeks for Financial Products via Approximative Transition Densities
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    In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...
    Jörg Kampen, Anastasia Kolodko, John Schoenma...
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