Efficient Computation of Hedging Parameters for Discretely Exercisable Options

DOI10.1287/opre.1080.0557zbMath1167.91371OpenAlexW2112795785MaRDI QIDQ3392211

Stathis Tompaidis, R. Kaniel, Alexander Zemlianov

Publication date: 13 August 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/63268f0c400592fadf13600acf065d66cd2fbcff

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach ⋮ Simulated Greeks for American options ⋮ The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks ⋮ Recursive lower and dual upper bounds for Bermudan-style options

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