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Computing Greeks using multilevel path simulation
- Abstract:
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We investigate the extension of the multilevel Monte Carlo method [2, 3] to the calculation of Greeks. The pathwise sensitivity analysis [5] differentiates the path evolution and effectively reduces the smoothness of the payoff. This leads to new challenges: the use of naive algorithms is often impossible because of the inapplicability of pathwise sensitivities to discontinuous payoffs. These challenges can be addressed in three different ways: payoff smoothing using conditional expectations...
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- Publication date:
- 2011-01-01
Item Description
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uuid:b4fb51cd-d91c-45d0-a4e9-60199155168c
- Local pid:
- oai:eprints.maths.ox.ac.uk:1046
- Deposit date:
- 2011-05-20
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- Copyright date:
- 2011
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