Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing. (English) Zbl 1519.91286 Quant. Finance 23, No. 2, 209-227 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65D30 65D40 65D32 65Y20 91G20 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 23, No. 2, 209--227 (2023; Zbl 1519.91286) Full Text: DOI arXiv
Zhang, Chaojun; Wang, Xiaoqun Quasi-Monte Carlo-based conditional pathwise method for option Greeks. (English) Zbl 1431.91437 Quant. Finance 20, No. 1, 49-67 (2020). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{C. Zhang} and \textit{X. Wang}, Quant. Finance 20, No. 1, 49--67 (2020; Zbl 1431.91437) Full Text: DOI
Lyuu, Yuh-Dauh; Teng, Huei-Wen; Tseng, Yao-Te; Wang, Sheng-Xiang A systematic and efficient simulation scheme for the Greeks of financial derivatives. (English) Zbl 1420.91473 Quant. Finance 19, No. 7, 1199-1219 (2019). MSC: 91G20 60G51 60J75 PDFBibTeX XMLCite \textit{Y.-D. Lyuu} et al., Quant. Finance 19, No. 7, 1199--1219 (2019; Zbl 1420.91473) Full Text: DOI
Fries, Christian P. Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations. (English) Zbl 1420.91507 Quant. Finance 19, No. 6, 1043-1059 (2019). MSC: 91G60 65C05 60H15 PDFBibTeX XMLCite \textit{C. P. Fries}, Quant. Finance 19, No. 6, 1043--1059 (2019; Zbl 1420.91507) Full Text: DOI
Tong, Shaolong; Liu, Guangwu Importance sampling for option Greeks with discontinuous payoffs. (English) Zbl 1415.91292 INFORMS J. Comput. 28, No. 2, 223-235 (2016). MSC: 91G20 62D05 PDFBibTeX XMLCite \textit{S. Tong} and \textit{G. Liu}, INFORMS J. Comput. 28, No. 2, 223--235 (2016; Zbl 1415.91292) Full Text: DOI
Hong, L. Jeff; Juneja, Sandeep; Luo, Jun Estimating sensitivities of portfolio credit risk using Monte Carlo. (English) Zbl 1304.91232 INFORMS J. Comput. 26, No. 4, 848-865 (2014). MSC: 91G40 91G70 62P05 65L05 PDFBibTeX XMLCite \textit{L. J. Hong} et al., INFORMS J. Comput. 26, No. 4, 848--865 (2014; Zbl 1304.91232) Full Text: DOI Link