Yongjia Xu, Yongzeng Lai, Haixiang Yao. Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods. Applied Mathematics and Computation, 236:493-511, 2014. [doi]
@article{XuLY14-0,
title = {Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods},
author = {Yongjia Xu and Yongzeng Lai and Haixiang Yao},
year = {2014},
doi = {10.1016/j.amc.2014.03.057},
url = {http://dx.doi.org/10.1016/j.amc.2014.03.057},
researchr = {https://researchr.org/publication/XuLY14-0},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {236},
pages = {493-511},
}