CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES

DOI10.1142/S0219024919500286zbMath1426.91303OpenAlexW2964294838MaRDI QIDQ5242952

Parviz Rakhmonov, Firuz Rakhmonov

Publication date: 8 November 2019

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

Full work available at URL: https://doi.org/10.1142/s0219024919500286

zbMATH Keywords

Monte Carlovariance reductionGreekssensitivitiesautocallable

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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Cites Work

• PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS
• Conditioning on One-Step Survival for Barrier Option Simulations

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