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

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

Shenghong Li, Wenbin Hu

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

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

• Title not available (Why is that?)
• 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
• 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

This page was built for publication: Fast Greeks by simulation: the block adjoint method with memory reduction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q399079)