Computing Greeks using multilevel path simulation

We investigate the extension of the multilevel Monte Carlo method [2, 3] to the calculation of Greeks. The pathwise sensitivity analysis [5] differentiates the path evolution and effectively reduces the smoothness of the payoff. This leads to new challenges: the use of naive algorithms is often impo...

Full description

Bibliographic Details
Main Authors: Giles, M, Burgos, S
Format: Report
Published: . 2011