Faster Forward Sensitivities: Reduced stochastic hedge ratios from pathwise algorithmic differentiation

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Fries, Christian P
Format:	Preprint
Published:	2026
Subjects:	Risk Management Computational Finance Pricing of Securities 65C05, 91G20, 91G60, 65F20, 65F22 G.1.3; G.1.6; G.3; I.6.6; I.6.8
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Internet

https://arxiv.org/abs/2605.23979