A systematic and efficient simulation scheme for the Greeks of financial derivatives
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Cites work
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- An exact method for the sensitivity analysis of systems simulated by rejection techniques
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Catastrophe Risk Bonds
- Convergence of parameter sensitivity estimates in a stochastic experiment
- Discontinuous perturbation analysis of discrete-event dynamic systems
- Estimating Security Price Derivatives Using Simulation
- Estimating sensitivities of portfolio credit risk using Monte Carlo
- Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
- Full and fast calibration of the Heston stochastic volatility model
- Greeks formulas for an asset price model with gamma processes
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- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Kernel estimation of the Greeks for options with discontinuous payoffs
- Malliavin Greeks without Malliavin calculus
- Malliavin Monte Carlo Greeks for jump diffusions
- Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
- Option pricing via Monte Carlo simulation. A weak derivative approach
- Positive Definite Matrices and Sylvester's Criterion
- Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
- Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- Sensitivity analysis for Monte Carlo simulation of option pricing
- Sensitivity estimates for portfolio credit derivatives using Monte Carlo
- Simulation.
- The Variance Gamma Process and Option Pricing
- Unbiased and efficient Greeks of financial options
- Weak Differentiability of Product Measures
Cited in
(11)- Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
- Kernel estimation of the Greeks for options with discontinuous payoffs
- A simulation approach to financial options Greeks estimation under Lévy processes
- Efficient price sensitivity estimation of financial derivatives by weak derivatives
- Importance sampling for option Greeks with discontinuous payoffs
- Unbiased and efficient Greeks of financial options
- Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
- Simulating from the Heston model: a gamma approximation scheme
- Quasi-Monte Carlo-based conditional pathwise method for option Greeks
- Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
- A new computational scheme for computing Greeks by the asymptotic expansion approach
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