Double Kernel Estimation of Sensitivities

DOI10.1239/jap/1253279852zbMath1283.62076arXiv0909.2624OpenAlexW2162973675MaRDI QIDQ3182432

Romuald Elie

Publication date: 8 October 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.2624

zbMATH Keywords

Monte Carlo simulationnonparametric regressionsensitivity estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Monte Carlo methods (65C05)

Related Items (1)

Kernel estimation of Greek weights by parameter randomization

Cites Work

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• Strong convergence of sums of \(\alpha \)-mixing random variables with applications to density estimation
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Kernel estimation of Greek weights by parameter randomization
• Asymptotic Properties of Monte Carlo Estimators of Derivatives
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Estimating Security Price Derivatives Using Simulation
• Nonparametric Pricing of Interest Rate Derivative Securities

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