Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations
This paper presents an adjoint method to accelerate the calculation of Greeks by Monte Carlo simulation. The method calculates price sensitivities along each path; but in contrast to a forward pathwise calculation, it works backward recursively using adjoint variables. Along each path, the forward a...
| Hlavní autoři: | , |
|---|---|
| Médium: | Report |
| Vydáno: |
Unspecified
2005
|