TY - GEN A1 - Kampen, Joerg A1 - Kolodko, Anastasia A1 - Schoenmakers, John T1 - Monte Carlo Greeks for financial products via approximative transition densities N2 - 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. KW - Financial derivatives KW - sensitivities KW - Monte-Carlo methods KW - WKB expansions Y1 - 2008 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/441 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-4414 ER -