Vibrato Monte Carlo sensitivities
We show how the benefits of the pathwise sensitivity approach to computing Monte Carlo Greeks can be extended to discontinuous payoff functions through a combination of the pathwise approach and the Likelihood Ratio Method. With a variance reduction modification, this results in an estimator which f...
Príomhchruthaitheoir: | |
---|---|
Formáid: | Book section |
Foilsithe / Cruthaithe: |
Springer Verlag
2009
|