ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS

DOI10.1142/S021902491850019XzbMath1395.91495OpenAlexW2611857844MaRDI QIDQ4571698

Roberto Daluiso, Giorgio Facchinetti

Publication date: 29 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491850019x

zbMATH Keywords

derivatives pricingalgorithmic differentiationadjointsGreekssensitivitiesbarrier optionsdigital optionsdiscontinuous payoffspathwise differentiation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Unbiased and efficient Greeks of financial options
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Stochastic calculus of variations in mathematical finance.
• Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
• Evaluating Derivatives
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item