Monte Carlo Greeks for Financial Products via Approximative Transition Densities

DOI10.1137/070682198zbMath1274.60181arXiv0807.1213OpenAlexW1969334391MaRDI QIDQ5189660

Jörg Kampen, John G. M. Schoenmakers, Anastasia Kolodko

Publication date: 10 March 2010

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.1213

zbMATH Keywords

Monte Carlo methodssensitivitiesfinancial derivativesWKB expansions

Mathematics Subject Classification ID

Density estimation (62G07) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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