Quasi-Monte Carlo-based conditional pathwise method for option Greeks

DOI10.1080/14697688.2019.1600714zbMath1431.91437MaRDI QIDQ5215438

Xiaoqun Wang, Chaojun Zhang

Publication date: 10 February 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1600714

zbMATH Keywords

smoothing; dimension reduction; quasi-Monte Carlo; Greeks; pathwise method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)