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20162021
most citedPerformance of a Markovian neural network versus dynamic programming on a fishing control problem

1 citations · 1 across the 2 of their papers we have counts for

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q-fin.CP2016

Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options

Gilles Pagès, Olivier Pironneau, Guillaume Sall

This paper deals with the computation of second or higher order greeks of financial securities. It combines two methods, Vibrato and automatic differentiation and compares with oth…