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

Marco Avellaneda, R. Gamba

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
StatePublished - 2001

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