Simulated Greeks for American options
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Publication:6158428
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 739534 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 3369559 (Why is no real title available?)
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistent nonparametric regression. Discussion
- Efficient Computation of Hedging Parameters for Discretely Exercisable Options
- Generalized autoregressive conditional heteroscedasticity
- Local Polynomial Estimation of Regression Functions for Mixing Processes
- MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Nonparametric estimation of a regression function and its derivatives under an ergodic hypothesis
- On the pricing of American options
- Pricing and hedging American-style options: a simple simulation-based approach
- Series estimation under cross-sectional dependence
- THE GARCH OPTION PRICING MODEL
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Variable bandwidth and local linear regression smoothers
- Volatility components, affine restrictions, and nonnormal innovations
Cited in
(7)- A simulation approach to financial options Greeks estimation under Lévy processes
- Kernel estimation of the Greeks for options with discontinuous payoffs
- Revisiting the Greeks for European and American options
- Importance sampling for option Greeks with discontinuous payoffs
- Pricing and hedging American-style options: a simple simulation-based approach
- Unbiased and efficient Greeks of financial options
- Estimating option Greeks under the stochastic volatility using simulation
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