Monte Carlo Greeks for Financial Products via Approximative Transition Densities

Monte Carlo Greeks for Financial Products via Approximative Transition Densities

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 ob...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:SIAM journal on scientific computing 2008-01, Vol.31 (1), p.1-22
Hauptverfasser: Kampen, Jörg, Kolodko, Anastasia, Schoenmakers, John
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Interest rates
Methods
Monte Carlo simulation
Prices
Random variables
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:1064-8275
1095-7197
DOI:10.1137/070682198