Denoised Monte Carlo for option pricing and Greeks estimation

By Muchorski R., Daniluk A., Lakshtanov E.

Published 2024-02-19

Everscope rating

1481.5

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Denoised Monte Carlo. Problem types: Option Pricing, Greeks Estimation.

arXiv:2402.12528 · Paper rankings

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