Automatic differentiation in Julia with applications to variance reduced price estimation in the diffusion operator integral method.
Paper available on SSRN.
-
Notifications
You must be signed in to change notification settings - Fork 0
austerj/ad-doi
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
automatic differentiation for diffusion operator integral variance reduction
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published