Unbiased and efficient Greeks of financial options
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Publication:483704
DOI10.1007/S00780-010-0137-5zbMATH Open1303.91191OpenAlexW1972162256MaRDI QIDQ483704FDOQ483704
Authors: Yuh-Dauh Lyuu, Huei-Wen Teng 
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0137-5
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Cites Work
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- Pricing Options With Curved Boundaries1
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- Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
Cited In (20)
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- Calculating variable annuity liability ``Greeks using Monte Carlo simulation
- Kernel estimation of Greek weights by parameter randomization
- Revisiting the Greeks for European and American options
- Importance sampling for option Greeks with discontinuous payoffs
- Indirect inference with a non-smooth criterion function
- Gradient estimation for smooth stopping criteria
- Double Kernel Estimation of Sensitivities
- A measure-valued differentiation approach to sensitivities of quantiles
- Algorithmic differentiation for discontinuous payoffs
- Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
- Dynamic Greeks
- Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Kernel estimation of the Greeks for options with discontinuous payoffs
- A study of Greek letters of currency option under uncertainty environments
- Quasi-Monte Carlo-based conditional pathwise method for option Greeks
- Efficient price sensitivity estimation of financial derivatives by weak derivatives
- THE GREEKS OF INDONESIAN CALL OPTION
- Likelihood ratio method and algorithmic differentiation: fast second order Greeks
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