Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
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Publication:4409040
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Cites work
- A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
- Computation of Greeks for barrier and look-back options using Malliavin calculus
- Estimating Security Price Derivatives Using Simulation
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- Hedging lookback and partial lookback options using Malliavin calculus
- scientific article; zbMATH DE number 4062289 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 3398554 (Why is no real title available?)
- On the Convergence Rates of IPA and FDC Derivative Estimators
- Some Guidelines and Guarantees for Common Random Numbers
Cited in
(22)- An integration by parts type formula for stopping times and its application
- Computation of Greeks for barrier and look-back options using Malliavin calculus
- On density functions related to discrete time maximum of some one-dimensional diffusion processes
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus
- Integration by parts formula for killed processes: a point of view from approximation theory
- Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations
- Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
- Convergence of European lookback options with floating strike in the binomial model
- Estimating sensitivities of portfolio credit risk using Monte Carlo
- Sequential Monte Carlo methods for option pricing
- Importance sampling for option Greeks with discontinuous payoffs
- Optimal search for parameters in Monte Carlo simulation for derivative pricing
- Derman and Taleb's ‘The illusions of dynamic replication’: a comment
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- Local Vega Index and Variance Reduction Methods
- Analytical pricing of single barrier options under local volatility models
- Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
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