Efficient price sensitivity estimation of financial derivatives by weak derivatives
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Publication:3168630
DOI10.1515/MCMA.2011.001zbMath1209.91169MaRDI QIDQ3168630
Carlos Sanz-Chacón, Peter E. Kloeden
Publication date: 19 April 2011
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Monte Carlo simulation; Greeks; path-dependent derivatives; sensitivity calculation; weak derivative method
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
Cites Work
- Sampling derivatives of probabilities
- Sensitivity estimation for Gaussian systems
- Measure-valued differentiation for Markov chains
- OPTION PRICING VIA MONTE CARLO SIMULATIONA WEAK DERIVATIVE APPROACH
- What you should know about simulation and derivatives
- Estimating Security Price Derivatives Using Simulation
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II