Jörg Kampen, Anastasia Kolodko, John Schoenmakers. Monte Carlo Greeks for Financial Products via Approximative Transition Densities. SIAM J. Scientific Computing, 31(1):1-22, 2008. [doi]
@article{KampenKS08, title = {Monte Carlo Greeks for Financial Products via Approximative Transition Densities}, author = {Jörg Kampen and Anastasia Kolodko and John Schoenmakers}, year = {2008}, doi = {10.1137/070682198}, url = {http://dx.doi.org/10.1137/070682198}, researchr = {https://researchr.org/publication/KampenKS08}, cites = {0}, citedby = {0}, journal = {SIAM J. Scientific Computing}, volume = {31}, number = {1}, pages = {1-22}, }