AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks
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Publication:4586457
DOI10.3233/AF-170201zbMath1395.91492MaRDI QIDQ4586457
Andrea Macrina, Luca Capriotti, Yupeng Jiang
Publication date: 13 September 2018
Published in: Algorithmic Finance (Search for Journal in Brave)
Monte Carlo methodsadjoint algorithmic differentiation (AAD)Bermudan-style optionsvaluation adjustments (XVA)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) ⋮ KrigHedge: Gaussian Process Surrogates for Delta Hedging ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing ⋮ Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
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