Efficient computation of option price sensitivities using homogeneity and other tricks

O Reiß, U Wystup

Research output: Book/ReportReportScientific

Original languageUndefined/Unknown
Place of PublicationBerlin
PublisherWeierstraß-Institut für Angewandte Analysis und Stochastik
Number of pages24
Publication statusPublished - 2000

Publication series

Name
PublisherWeierstraß-Institut für Angewandte Analysis und Stochastik

Keywords

  • ZX Int.klas.verslagjaar < 2002

Cite this