QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS

DOI10.1142/S0219024903002250zbMath1079.91527OpenAlexW1965953040MaRDI QIDQ5696881

Fred Espen Benth, Lars O. Dahl, Kenneth Hvistendahl Karlsen

Publication date: 19 October 2005

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

Full work available at URL: https://doi.org/10.1142/s0219024903002250

zbMATH Keywords

optionshedgingadaptive methodsMalliavin derivativequasi Monte Carlo simulationsensitivity measuresoptions in commodity and energy markets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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On the sensitivity analysis of energy quanto options ⋮ Numerical computation of Theta in a jump-diffusion model by integration by parts

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