9 citations · 14 across the 2 of their papers we have counts for
2 papers
q-fin.CP2011★ 5 cited
Multidimensional Quasi-Monte Carlo Malliavin Greeks
Nicola Cufaro Petroni, Piergiacomo Sabino
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the form…
q-fin.PR2009★ 9 cited
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Nicola Cufaro Petroni, Piergiacomo Sabino
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dep…