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

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

Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Original language	English (US)
Title of host publication	Proceedings of the first Bachelier congress, 2001
Subtitle of host publication	Quantitative analysis in financial markets
Volume	II
State	Published - 2001

Cite this

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

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

@inproceedings{542628dd98b944e38bf2411d8468f3f3,

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

author = "Marco Avellaneda and R. Gamba",

year = "2001",

language = "English (US)",

volume = "II",

booktitle = "Proceedings of the first Bachelier congress, 2001",

}