FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS

DOI10.1111/j.1467-9965.2011.00509.xzbMath1280.91191MaRDI QIDQ2847241

Mark S. Joshi, Jiun Hong Chan

Publication date: 4 September 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00509.x

zbMATH Keywords

LIBOR market model; digital option; discontinuous pay-off; minimal partial proxy simulation scheme; Monte Carlo Greeks; partial proxy simulation scheme; pathwise methods; price sensitivities; target redemption note; trigger product

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

65D25: Numerical differentiation

65D30: Numerical integration

65C35: Stochastic particle methods

11K45: Pseudo-random numbers; Monte Carlo methods