Simulated Greeks for American options

DOI10.1080/14697688.2022.2159869zbMath1518.91284MaRDI QIDQ6158428

Lars Stentoft, P. Létourneau

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

hedgingleast squares Monte Carlo methodprice sensitivities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Pricing and hedging American-style options: a simple simulation-based approach

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