Nicola Cufaro und Quasi-Monte - Info zur Person

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Multidimensional quasi-Monte Carlo Malliavin Greeks

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Nicola Cufaro Petroni & Piergiacomo Sabino, "Multidimensional quasi- Monte Carlo Malliavin Greeks," Decisions in Economics and Finance, Springer ...

Multidimensional Quasi-Monte Carlo Malliavin Greeks

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IDEAS is not the only service displaying RePEc data. Choose on RePEc which ... Nicola Cufaro Petroni

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo...

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All full texts are decentralized with the publishers, none reside on this ... Nicola Cufaro Petroni; Piergiacomo Sabino

Multidimensional quasi-Monte Carlo Malliavin Greeks - EconBiz

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Multidimensional quasi-Monte Carlo Malliavin Greeks. Nicola Cufaro Petroni; Piergiacomo Sabino. Year of Publication: Authors: Cufaro Petroni, Nicola; ...

Nicola Cufaro Petroni | XanEdu Customization Platform

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Author: Nicola Cufaro Petroni. Results. Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations Springer Science+Business ...

Multidimensional Quasi-Monte Carlo Malliavin Greeks - EconBiz

www.econbiz.de

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this...

[ ] Multidimensional Quasi-Monte Carlo Malliavin Greeks

arxiv.org

Submission history From: Nicola Cufaro Petroni [view email] [v1] Tue, 29 Mar :09:16 GMT (58kb)

EconPapers: Multidimensional Quasi-Monte Carlo Malliavin Greeks

econpapers.repec.org

By Nicola Cufaro Petroni and Piergiacomo Sabino; Abstract: We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex

Multidimensional Quasi-Monte Carlo Malliavin Greeks : Nicola Cufaro...

archive.org

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this...

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo...

scirate.com

Nicola Cufaro Petroni,; Piergiacomo Sabino. In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the ...

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