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

Cites Work

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Mathematical analysis II. Transl. from the 4th Russian edition by Roger Cooke
Applications of Malliavin calculus to Monte Carlo methods in finance
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Discrépance de suites associées à un système de numération (en dimension s)
How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
Quasi-Monte Carlo integration
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Scrambling Sobol' and Niederreiter-Xing points
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The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
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Unbiased and efficient Greeks of financial options
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Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
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Importance Sampling for Option Greeks with Discontinuous Payoffs
Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs

Cited In (7)

Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
Multidimensional quasi-Monte Carlo Malliavin Greeks

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