Kernel estimation of Greek weights by parameter randomization
From MaRDI portal
Publication:2467608
DOI10.1214/105051607000000186zbMath1214.62043arXiv0710.4392OpenAlexW4300848558MaRDI QIDQ2467608
Romuald Elie, Jean-David Fermanian, Nizar Touzi
Publication date: 28 January 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.4392
Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) General theory of stochastic processes (60G07) Portfolio theory (91G10)
Related Items (3)
Double Kernel Estimation of Sensitivities ⋮ Weak approximations for Wiener functionals ⋮ Sensitivities for Bermudan options by regression methods
Cites Work
- Computation of Greeks for barrier and look-back options using Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Asymptotic Properties of Monte Carlo Estimators of Derivatives
- Double Kernel Estimation of Sensitivities
- On the Convergence Rates of IPA and FDC Derivative Estimators
- Estimating Security Price Derivatives Using Simulation
- Nonparametric Pricing of Interest Rate Derivative Securities
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Kernel estimation of Greek weights by parameter randomization