"Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for ..."

Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee (2019)

> Home

Details and statistics

DOI: 10.1016/J.JOCS.2019.03.001

access: closed

type: Journal Article

metadata version: 2025-01-19

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/jocs/JainLO19
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/jocs/JainLO19
Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee:
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. J. Comput. Sci. 33: 95-112 (2019)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.