Malliavin Greeks without Malliavin calculus
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Publication:2464862
DOI10.1016/J.SPA.2007.03.012zbMATH Open1133.60030OpenAlexW2095791684MaRDI QIDQ2464862FDOQ2464862
Authors: Nan Chen, Paul Glasserman 
Publication date: 17 December 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.03.012
Recommendations
Malliavin calculusMonte Carlo simulationweak convergencelikelihood ratio methodpathwise derivative method
Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
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Cited In (35)
- Monte Carlo gradient estimation in machine learning
- QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
- What you should know about simulation and derivatives
- Monte Carlo Greeks for financial products via approximative transition densities
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- Optimal approximation of Skorohod integrals
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
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- Sensitivity of the joint survival probability for reinsurance schemes
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Importance sampling for option Greeks with discontinuous payoffs
- Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model
- On the data-driven COS method
- Monte Carlo methods for derivatives of options with discontinuous payoffs
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- Sensitivity analysis of long-term cash flows
- An introduction to particle methods with financial applications
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
- Asymptotic properties of Monte Carlo estimators of derivatives
- Malliavin calculus for Markov chains using perturbations of time
- Smart Monte Carlo: various tricks using Malliavin calculus
- Estimating residual hedging risk with least-squares Monte Carlo
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Pricing participating products under a generalized jump-diffusion model
- Computing Greeks for Lévy Models: The Fourier Transform Approach
- Weak approximation of martingale representations
- Importance sampling for pathwise sensitivity of stochastic chaotic systems
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- Optimal pointwise approximation of anticipating SDEs
- Estimating sensitivities of portfolio credit risk using Monte Carlo
- Computing deltas without derivatives
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