Simulated Greeks for American options
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Publication:6158428
DOI10.1080/14697688.2022.2159869zbMATH Open1518.91284MaRDI QIDQ6158428FDOQ6158428
Authors: P. Létourneau, Lars Stentoft 
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
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Cites Work
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- Pricing and hedging American-style options: a simple simulation-based approach
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
Cited In (7)
- Estimating option Greeks under the stochastic volatility using simulation
- A simulation approach to financial options Greeks estimation under Lévy processes
- Revisiting the Greeks for European and American options
- Importance sampling for option Greeks with discontinuous payoffs
- Unbiased and efficient Greeks of financial options
- Kernel estimation of the Greeks for options with discontinuous payoffs
- Pricing and hedging American-style options: a simple simulation-based approach
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