Unbiased and efficient Greeks of financial options
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Cites work
- scientific article; zbMATH DE number 1002915 (Why is no real title available?)
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- An Intertemporal General Equilibrium Model of Asset Prices
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
- Estimating Security Price Derivatives Using Simulation
- Financial engineering and computation. Principles, mathematics, algorithms
- Martingales and arbitrage in multiperiod securities markets
- Monte Carlo strategies in scientific computing
- Optimal Malliavin Weighting Function for the Computation of the Greeks
- Pricing Options With Curved Boundaries1
- Pricing and Hedging Spread Options
Cited in
(20)- scientific article; zbMATH DE number 1724291 (Why is no real title available?)
- 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
- Double Kernel Estimation of Sensitivities
- Gradient estimation for smooth stopping criteria
- A measure-valued differentiation approach to sensitivities of quantiles
- Algorithmic differentiation for discontinuous payoffs
- Dynamic Greeks
- Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
- 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
- A study of Greek letters of currency option under uncertainty environments
- Kernel estimation of the Greeks for options with discontinuous payoffs
- 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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