Kernel Estimation of the Greeks for Options with Discontinuous Payoffs

DOI10.1287/opre.1100.0844zbMath1217.91211OpenAlexW2142087254MaRDI QIDQ3013921

L. Jeff Hong, Guangwu Liu

Publication date: 19 July 2011

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

Full work available at URL: https://semanticscholar.org/paper/75c4be31c5e383c50e7d3e35073f447555b3add0

zbMATH Keywords

financesecurities

Mathematics Subject Classification ID

Density estimation (62G07) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

Quasi-Monte Carlo simulation for American option sensitivities ⋮ An exact method for the sensitivity analysis of systems simulated by rejection techniques ⋮ Importance Sampling for Option Greeks with Discontinuous Payoffs ⋮ ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS ⋮ American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach ⋮ A New Likelihood Ratio Method for Training Artificial Neural Networks ⋮ Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Denoising Monte Carlo sensitivity estimates ⋮ Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs ⋮ A Measure-Valued Differentiation Approach to Sensitivities of Quantiles ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters ⋮ Online Risk Monitoring Using Offline Simulation ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS

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