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    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
    14 years 11 months ago
    Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
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    This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
    Mark Broadie, Özgür Kaya
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