A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives

DOI10.1287/opre.1110.1018zbMath1342.62167OpenAlexW2009485448MaRDI QIDQ2917637

Steven I. Marcus, Michael C. Fu, Yong-Qiang Wang

Publication date: 1 October 2012

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1110.1018

zbMATH Keywords

simulationstochastic approximationoption pricinglikelihood ratioderivative estimationinfinitesimal perturbation analysisprice sensitivity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Differentiability conditions for stochastic hybrid systems with application to the optimal design of microgrids, Quasi-Monte Carlo simulation for American option sensitivities, Importance Sampling for Option Greeks with Discontinuous Payoffs, Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions, Computing Sensitivities for Distortion Risk Measures, A New Likelihood Ratio Method for Training Artificial Neural Networks, Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation, Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs, Quasi-Monte Carlo-based conditional pathwise method for option Greeks, A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters, A systematic and efficient simulation scheme for the Greeks of financial derivatives