Quasi-Monte Carlo-based conditional pathwise method for option Greeks
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Cites work
- 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
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Conditional sampling for barrier option pricing under the LT method
- Discrépance de suites associées à un système de numération (en dimension s)
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
- Estimating Security Price Derivatives Using Simulation
- Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
- Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
- High dimensional integration of kinks and jumps -- smoothing by preintegration
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
- scientific article; zbMATH DE number 1002915 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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- Importance sampling for option Greeks with discontinuous payoffs
- Kernel estimation of the Greeks for options with discontinuous payoffs
- Mathematical analysis II. Transl. from the 4th Russian edition by Roger Cooke
- On the \(L_2\)-discrepancy for anchored boxes
- On the distribution of points in a cube and the approximate evaluation of integrals
- On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
- On the error rate of conditional quasi-Monte Carlo for discontinuous functions
- Perturbation analysis and optimization of queueing networks
- Quasi-Monte Carlo integration
- Scrambling Sobol' and Niederreiter-Xing points
- Smoothing the payoff for efficient computation of Basket option prices
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- The effective dimension and quasi-Monte Carlo integration
- The smoothing effect of integration in \(\mathbb R^d\) and the ANOVA decomposition
- Unbiased and efficient Greeks of financial options
Cited in
(13)- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- Kernel estimation of the Greeks for options with discontinuous payoffs
- Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
- Computation of first-order greeks for barrier options using chain rules for Wiener path integrals
- Importance sampling for option Greeks with discontinuous payoffs
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- A systematic and efficient simulation scheme for the Greeks of financial derivatives
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
- A median QMC method for unbounded integrands over \(\mathbb{R}^s\) in weighted unanchored Sobolev spaces
- Randomized quasi-Monte Carlo and importance sampling for super-fast growing functions with applications to finance
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