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"Vibrato and automatic differentiation for high order derivatives and ..."

Gilles Pagès, Olivier Pironneau, Guillaume Sall (2016)

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DOI: —

access: open

type: Informal or Other Publication

metadata version: 2018-08-13

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  - electronic edition @ arxiv.org (open access)
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  dblp key:
  - journals/corr/PagesPS16
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  persistent URL:
  - https://dblp.org/rec/journals/corr/PagesPS16
Gilles Pagès, Olivier Pironneau, Guillaume Sall:
Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options. CoRR abs/1606.06143 (2016)

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