Computing Greeks Using Multilevel Path Simulation

DOI10.1007/978-3-642-27440-4_13zbMath1270.91091OpenAlexW1582512274MaRDI QIDQ5326111

Sylvestre Burgos, Michael B. Giles

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:b4fb51cd-d91c-45d0-a4e9-60199155168c

zbMATH Keywords

risk measuresmultilevel Monte Carlo methodpathwise sensitivity analysis

Mathematics Subject Classification ID

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

Related Items (2)

A multi-level dimension reduction Monte-Carlo method for jump-diffusion models ⋮ An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

This page was built for publication: Computing Greeks Using Multilevel Path Simulation