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

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)

Recommendations

• scientific article; zbMATH DE number 5870403
• Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
• Computing Greeks using multilevel path simulation
• AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks
• Likelihood ratio method and algorithmic differentiation: fast second order Greeks

Cites work

• scientific article; zbMATH DE number 5870403 (Why is no real title available?)
• Evaluating Derivatives
• Implicit Taylor methods for stiff stochastic differential equations
• Memory-reduction method for pricing American-style options under exponential Lévy processes.
• On the computation of option prices and Greeks under the CEV model
• Pricing multi-asset American-style options by memory reduction Monte Carlo methods
• The forward-path method for pricing multi-asset American-style options under general diffusion processes

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)