Algorithmic differentiation for discontinuous payoffs

DOI10.1142/S021902491850019XMaRDI QIDQ4571698zbMATH OpenOpenAlexFDO

Authors Roberto Daluiso, Giorgio Facchinetti

Publication date 29 June 2018

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

Full work available at URL https://doi.org/10.1142/s021902491850019x

zbMATH Keywords

adjointsalgorithmic differentiationbarrier optionsderivatives pricingdigital optionsdiscontinuous payoffsGreekspathwise differentiationsensitivities

Mathematics Subject Classification ID

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

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Cites work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Evaluating Derivatives
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• Kernel estimation of the Greeks for options with discontinuous payoffs
• Likelihood ratio method and algorithmic differentiation: fast second order Greeks
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Stochastic calculus of variations in mathematical finance.
• The pricing of options and corporate liabilities
• Unbiased and efficient Greeks of financial options

Cited in

(9)

• Obtaining analytic derivatives for a popular discrete-choice dynamic programming model
• A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
• Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
• Vibrato Monte Carlo sensitivities
• Likelihood ratio method and algorithmic differentiation: fast second order Greeks
• AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks
• Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
• Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions)
• Adjoint-based Monte Carlo calibration of financial methods

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