Fast Greeks by simulation: the block adjoint method with memory reduction

DOI10.1016/J.CAM.2014.07.005zbMATH Open1307.91190OpenAlexW1980237550MaRDI QIDQ399079FDOQ399079

Authors: Wenbin Hu, Shenghong Li 

Publication date: 19 August 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.005

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zbMATH Keywords

sensitivityMonte Carloadjointblock simulationmemory reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Evaluating Derivatives
• Implicit Taylor methods for stiff stochastic differential equations
• The forward-path method for pricing multi-asset American-style options under general diffusion processes
• Title not available (Why is that?)
• On the computation of option prices and Greeks under the CEV model
• Memory-reduction method for pricing American-style options under exponential Lévy processes.
• Pricing multi-asset American-style options by memory reduction Monte Carlo methods

Cited In (1)

• Backward simulation methods for pricing American options under the CIR process

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