Importance Sampling for Option Greeks with Discontinuous Payoffs

DOI10.1287/ijoc.2015.0674zbMath1415.91292OpenAlexW2278747027MaRDI QIDQ3186649

Guangwu Liu, Shaolong Tong

Publication date: 12 August 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2015.0674

zbMATH Keywords

simulationimportance samplingrisk managementGreek letters

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Unnamed Item ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators

Cites Work

• Unnamed Item
• Unbiased and efficient Greeks of financial options
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• Malliavin Greeks without Malliavin calculus
• FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS
• A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives
• Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• Estimating Security Price Derivatives Using Simulation
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
• Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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