Sensitivity Analysis for Monte Carlo Simulation of Option Pricing

DOI10.1017/S0269964800003958zbMath1335.91101OpenAlexW1979748626MaRDI QIDQ2805366

Jian-Qlang Hu, Michael C. Fu

Publication date: 11 May 2016

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800003958

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic approximation methods for constrained and unconstrained systems
• Optimization via simulation: A review
• Efficient Monte Carlo simulation of security prices
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework

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