Luca Capriotti. Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks. Algorithmic Finance, 4(1-2):81-87, 2015. [doi]
@article{Capriotti15,
title = {Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks},
author = {Luca Capriotti},
year = {2015},
doi = {10.3233/AF-150045},
url = {http://dx.doi.org/10.3233/AF-150045},
researchr = {https://researchr.org/publication/Capriotti15},
cites = {0},
citedby = {0},
journal = {Algorithmic Finance},
volume = {4},
number = {1-2},
pages = {81-87},
}