Sensitivity analysis for Monte Carlo simulation of option pricing

DOI10.1017/S0269964800003958zbMATH Open1335.91101OpenAlexW1979748626MaRDI QIDQ2805366FDOQ2805366

Jian-Qlang Hu, Michael C. Fu

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

• Stochastic approximation methods for constrained and unconstrained systems
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• Martingales and stochastic integrals in the theory of continuous trading
• Efficient Monte Carlo simulation of security prices
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• Optimization via simulation: A review
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework

Cited In (12)

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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
• Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo
• Title not available (Why is that?)
• Monte Carlo methods for security pricing
• Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data
• 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
• A systematic and efficient simulation scheme for the Greeks of financial derivatives
• A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters
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