Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

DOI10.1080/1350486X.2016.1156487zbMath1396.91801OpenAlexW1580377169MaRDI QIDQ4682698

Dan Zhu, Mark S. Joshi

Publication date: 19 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2016.1156487

zbMATH Keywords

HessianMonte Carlo simulationderivatives pricingGreeks

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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