Vibrato Monte Carlo Sensitivities

DOI10.1007/978-3-642-04107-5_23zbMath1182.91197OpenAlexW1913204361MaRDI QIDQ3405448

Michael B. Giles

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_23

zbMATH Keywords

Greekssensitivitieslikelihood ratio method (LRM)vibrato Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (6)

An exact method for the sensitivity analysis of systems simulated by rejection techniques ⋮ Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ On the data-driven COS method ⋮ Mini-symposium on automatic differentiation and its applications in the financial industry ⋮ STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS ⋮ Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

This page was built for publication: Vibrato Monte Carlo Sensitivities