Importance Sampling for Option Greeks with Discontinuous Payoffs
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Publication:3186649
DOI10.1287/ijoc.2015.0674zbMath1415.91292OpenAlexW2278747027MaRDI QIDQ3186649
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
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
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- 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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