Unbiased and efficient Greeks of financial options

DOI10.1007/S00780-010-0137-5zbMath1303.91191OpenAlexW1972162256MaRDI QIDQ483704

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

zbMATH Keywords

importance samplingoption pricingMonte Carlo simulationpath-dependent optionsrainbow optionsGreeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Importance Sampling for Option Greeks with Discontinuous Payoffs ⋮ ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS ⋮ Gradient estimation for smooth stopping criteria ⋮ A Measure-Valued Differentiation Approach to Sensitivities of Quantiles ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Indirect inference with a non-smooth criterion function

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Applications of Malliavin calculus to Monte Carlo methods in finance
• An Intertemporal General Equilibrium Model of Asset Prices
• Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
• Pricing Options With Curved Boundaries¹
• Estimating Security Price Derivatives Using Simulation
• Optimal Malliavin Weighting Function for the Computation of the Greeks
• Pricing and Hedging Spread Options
• Monte Carlo strategies in scientific computing
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