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)

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 proceedingConference contribution

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