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Multidimensional Quasi-Monte Carlo Malliavin Greeks
Greeks, Risk-Management Quasi-Monte Carlo Methods Malliavin Calculus
2011/3/31
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Mon...
The computation of Greeks with multilevel Monte Carlo
Monte Carlo pathwise sensitivities Likelihood Ratio Method
2011/3/23
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoot...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Di erentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/10/19
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...
Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
Student's t-Distribution Based Option Sensitivities Greeks the Gosset Formulae
2010/10/18
European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Stude...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Dierentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/4/28
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...