• search hit 7 of 7
Back to Result List

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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Joerg Kampen, Anastasia Kolodko, John Schoenmakers
URN:urn:nbn:de:0296-matheon-4414
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2008/01/22
Release Date:2008/01/16
Tag:
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05]
62-XX STATISTICS / 62Gxx Nonparametric inference / 62G07 Density estimation
65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C05 Monte Carlo methods
Preprint Number:427
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.