Asymptotic Properties of Monte Carlo Estimators of Derivatives

DOI10.1287/mnsc.1050.0398zbMath1232.91702OpenAlexW2142726187MaRDI QIDQ3115936

René Garcia, Marcel Rindisbacher, Jérôme B. Detemple

Publication date: 21 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1050.0398

zbMATH Keywords

simulationderivative estimationfinite differenceMalliavin weightlikelihood ratio weak convergenceMalliavin path

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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Double Kernel Estimation of Sensitivities ⋮ Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods ⋮ Gas Storage Hedging ⋮ Kernel estimation of Greek weights by parameter randomization ⋮ TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ Monte Carlo methods for derivatives of options with discontinuous payoffs ⋮ Indirect inference with a non-smooth criterion function

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