Second order sensitivities in linear or constant time


We analyse and compare methods to compute the full set of second order sensitivities of a Monte Carlo price in a time which is at most O(NT) where N is the number of inputs and T is the time required to compute the price. The... [ view full abstract ]


  1. Roberto Daluiso (University of Milano-Bicocca)

Topic Areas

Computational Finance , Numerical Methods


TU-A-DA » Computational Finance (11:30 - Tuesday, 17th July, Davis)

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