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Thesis

Investigation into Vibrato Monte Carlo for the Computation of Greeks of Discontinuous Payoffs

Abstract:

Monte Carlo simulation is a popular method in computational finance. Its basic theory is relatively simple, it is also quite easy to implement and allows nevertheless an efficient pricing of financial options, even in high-dimensional problems (basket options, interest rates products...). The pricing of options is just one use of Monte Carlo in finance. More important than the prices themselves are their sensitivities to input parameters (underlying asset value, interest rates, market volati...

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Publication date:
2009-07-03
URN:
uuid:c4f1ce1f-1ad1-4a4b-a19d-126764165b97
Local pid:
oai:eprints.maths.ox.ac.uk:785

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