Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model

DOI10.1080/14697688.2022.2076607zbMath1498.91495OpenAlexW4281712914WikidataQ113277798 ScholiaQ113277798MaRDI QIDQ5039630

Jungong Xue, Xiandi Yu, Xiaobo (Sharon) Hu

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2076607

zbMATH Keywords

Monte Carlo simulationGreeks computationone-step survivalpath-wise differentiationworst-of-all autocallable

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• On the perturbation of LU and Cholesky factors
• Conditioning on One-Step Survival for Barrier Option Simulations
• CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES
• Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives

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