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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Detalhes bibliográficos
Autor principal: Giles, M
Formato: Book section
Publicado em: Springer Verlag 2009
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Vibrato Monte Carlo sensitivities. por Giles, M

Publicado em 2007
Working paper