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.
| 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 |


