Monte Carlo Greeks for Financial Products via Approximative Transition Densities
نویسندگان
چکیده
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (”Greeks”). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities obtained by the WKB method. The results are applied in the context of a Libor market model.
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ورودعنوان ژورنال:
- SIAM J. Scientific Computing
دوره 31 شماره
صفحات -
تاریخ انتشار 2008