Report icon

Report

Computing Greeks using multilevel path simulation

Abstract:

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...

Expand abstract

Actions


Access Document


Files:

Authors


Sylvestre Burgos More by this author
Publication date:
2011-01-05
URN:
uuid:b4fb51cd-d91c-45d0-a4e9-60199155168c
Local pid:
oai:eprints.maths.ox.ac.uk:1046

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP