Sensitivity estimates for compound sums

DOI10.1007/978-3-642-04107-5_6MaRDI QIDQ3405428zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, Kyoung-Kuk Kim

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_6

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Double Kernel Estimation of Sensitivities
• Sensitivity estimates from characteristic functions
• Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
• A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
• Sensitivity estimates for portfolio credit derivatives using Monte Carlo

This page was built for publication: Sensitivity estimates for compound sums

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3405428)