Sensitivity analysis for Monte Carlo simulation of option pricing

DOI10.1017/S0269964800003958MaRDI QIDQ2805366zbMATH OpenOpenAlexFDO

Authors Michael C. Fu, Jian-Qlang Hu

Publication date 11 May 2016

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800003958

Mathematics Subject Classification ID

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

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Cited in

(17)

• Monte Carlo methods for security pricing
• Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
• Estimating sensitivities of portfolio credit risk using Monte Carlo
• scientific article; zbMATH DE number 5870403 (Why is no real title available?)
• An exact method for the sensitivity analysis of systems simulated by rejection techniques
• On the variance of single-run unbiased stochastic derivative estimators
• What you should know about simulation and derivatives
• A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
• scientific article; zbMATH DE number 7569345 (Why is no real title available?)
• A systematic and efficient simulation scheme for the Greeks of financial derivatives
• Simulation optimization: a review and exploration in the new era of cloud computing and big data
• Option pricing for Heston model with tempered fractional Brownian motion
• Blackbox simulation optimization
• Infinitesimal perturbation analysis (IPA) derivative estimation with unknown parameters
• Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs
• How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?

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