Quasi-Monte Carlo simulation for American option sensitivities (Q2146323)

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Language	Label	Description	Also known as
English	Quasi-Monte Carlo simulation for American option sensitivities	scientific article

Statements

scholarly article

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Quasi-Monte Carlo simulation for American option sensitivities (English)

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Jiangming Xiang

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Journal of Computational and Applied Mathematics

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publication date

16 June 2022

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zbMATH Keywords

American option greeks

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quasi-Monte Carlo

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dimension reduction

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describes a project that uses

Lattice Builder

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2022.114268

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Perturbation analysis and optimization of queueing networks

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Estimating Security Price Derivatives Using Simulation

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On the Convergence Rates of IPA and FDC Derivative Estimators

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Kernel Estimation of the Greeks for Options with Discontinuous Payoffs

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A Unified View of the IPA, SF, and LR Gradient Estimation Techniques

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A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters

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

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A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives

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The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks

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American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach

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Quasi-Monte Carlo Methods in Numerical Finance

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Quasi-Monte Carlo methods with applications in finance

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Monte Carlo and quasi-Monte Carlo sampling

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Smoothness and dimension reduction in quasi-Monte Carlo methods

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Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options

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On the distribution of points in a cube and the approximate evaluation of integrals

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Monte Carlo Variance of Scrambled Net Quadrature

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Scrambled net variance for integrals of smooth functions

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Monte Carlo methods for security pricing

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Pricing Bermudan options using low-discrepancy mesh methods

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On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance

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Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing

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The Variance Gamma Process and Option Pricing

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Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model

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Inverting the symmetrical beta distribution

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Identifiers

zbMATH Open document ID

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10.1016/j.cam.2022.114268

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2146323

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