FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS
From MaRDI portal
Publication:2847241
DOI10.1111/j.1467-9965.2011.00509.xzbMath1280.91191OpenAlexW3124096416MaRDI QIDQ2847241
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00509.x
LIBOR market modeldigital optiondiscontinuous pay-offminimal partial proxy simulation schemeMonte Carlo Greekspartial proxy simulation schemepathwise methodsprice sensitivitiestarget redemption notetrigger product
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (6)
Importance Sampling for Option Greeks with Discontinuous Payoffs ⋮ Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives
Cites Work
- Unnamed Item
- Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
- Evaluating Derivatives
- Estimating Security Price Derivatives Using Simulation
- The Market Model of Interest Rate Dynamics
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Mathematical Finance
This page was built for publication: FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS
