Monte Carlo Greeks for financial products via approximative transition densities

Please always quote using this URN: urn:nbn:de:0296-matheon-4414

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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Metadaten
Author:Joerg Kampen, Anastasia Kolodko, John Schoenmakers
URN:urn:nbn:de:0296-matheon-4414
Referee:Peter Imkeller
Language:English
Date of first Publication:22.01.2008
Tag:Financial derivatives; Monte-Carlo methods; WKB expansions; sensitivities
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Project:E5 Statistical and numerical methods in modelling of financial derivatives and valuation of risk
MSC-Classification:60H10 Stochastic ordinary differential equations [See also 34F05]
62G07 Density estimation
65C05 Monte Carlo methods
Preprint Number:Matheon Preprint #427