FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS
Publication:2847241
DOI10.1111/j.1467-9965.2011.00509.xzbMath1280.91191MaRDI QIDQ2847241
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00509.x
LIBOR market model; digital option; discontinuous pay-off; minimal partial proxy simulation scheme; Monte Carlo Greeks; partial proxy simulation scheme; pathwise methods; price sensitivities; target redemption note; trigger product
91G60: Numerical methods (including Monte Carlo methods)
91B70: Stochastic models in economics
91G20: Derivative securities (option pricing, hedging, etc.)
65D25: Numerical differentiation
65D30: Numerical integration
65C35: Stochastic particle methods
11K45: Pseudo-random numbers; Monte Carlo methods