Sensitivity analysis for Monte Carlo simulation of option pricing

DOI10.1017/S0269964800003958zbMATH Open1335.91101OpenAlexW1979748626MaRDI QIDQ2805366FDOQ2805366

Authors: Michael C. Fu, Jian-Qlang Hu 

Publication date: 11 May 2016

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800003958

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Mathematics Subject Classification ID

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

Cites Work

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• Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework

Cited In (13)

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• What you should know about simulation and derivatives
• Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
• A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
• Title not available (Why is that?)
• Monte Carlo methods for security pricing
• An exact method for the sensitivity analysis of systems simulated by rejection techniques
• How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
• Simulation optimization: a review and exploration in the new era of cloud computing and big data
• A systematic and efficient simulation scheme for the Greeks of financial derivatives
• Estimating sensitivities of portfolio credit risk using Monte Carlo
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