OPTION PRICING VIA MONTE CARLO SIMULATIONA WEAK DERIVATIVE APPROACH
From MaRDI portal
Publication:2748552
DOI10.1017/S0269964801153040zbMath1017.91045OpenAlexW2010169521MaRDI QIDQ2748552
Publication date: 16 October 2001
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964801153040
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Efficient price sensitivity estimation of financial derivatives by weak derivatives ⋮ Gradient estimation for smooth stopping criteria ⋮ Derivatives of Markov Kernels and Their Jordan Decomposition ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ What you should know about simulation and derivatives ⋮ A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives
