Efficient price sensitivity estimation of financial derivatives by weak derivatives

DOI10.1515/MCMA.2011.001zbMath1209.91169MaRDI QIDQ3168630

Carlos Sanz-Chacón, Peter E. Kloeden

Publication date: 19 April 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationGreekspath-dependent derivativessensitivity calculationweak derivative method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Cites Work

• Sampling derivatives of probabilities
• Sensitivity estimation for Gaussian systems
• Measure-valued differentiation for Markov chains
• OPTION PRICING VIA MONTE CARLO SIMULATIONA WEAK DERIVATIVE APPROACH
• What you should know about simulation and derivatives
• Estimating Security Price Derivatives Using Simulation
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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