Computing Greeks using multilevel path simulation

DOI10.1007/978-3-642-27440-4_13MaRDI QIDQ5326111zbMATH OpenOpenAlexFDO

Authors Sylvestre Burgos, Mike Giles

Publication date 31 July 2013

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:b4fb51cd-d91c-45d0-a4e9-60199155168c

zbMATH Keywords

multilevel Monte Carlo methodpathwise sensitivity analysisrisk measures

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(11)

• A multi-level dimension reduction Monte-Carlo method for jump-diffusion models
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Fast Greeks by simulation: the block adjoint method with memory reduction
• Computing Greeks for Lévy Models: The Fourier Transform Approach
• Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
• Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts
• SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
• Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives
• Multilevel path branching for digital options
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
• MLMC techniques for discontinuous functions

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