Conquering the Greeks in Monte Carlo: Efficient calculation of the market sensitivities and hedge-ratios of financial asset via Monte Carlo simulation

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Original languageEnglish (US)
Title of host publicationProceedings of the first Bachelier congress, 2001
Subtitle of host publicationQuantitative analysis in financial markets
VolumeII
StatePublished - 2001

Cite this

Avellaneda, M., & Gamba, R. (2001). Conquering the Greeks in Monte Carlo: Efficient calculation of the market sensitivities and hedge-ratios of financial asset via Monte Carlo simulation. In Proceedings of the first Bachelier congress, 2001: Quantitative analysis in financial markets (Vol. II)