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...
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| स्वरूप: | Book section |
| प्रकाशित: |
Springer Verlag
2009
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