Monte Carlo Greeks for Financial Products via Approximative Greenian Kernels

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

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Year of publication:	[2008]
Authors:	Kampen, Joerg
Other Persons:	Kolodko, Anastasia (contributor) ; Schoenmakers, John (contributor)
Publisher:	[2008]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (26 p)
Series:	Weierstrass Institute Berlin Working Paper
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 8, 2007 erstellt
Other identifiers:	10.2139/ssrn.962690 [DOI]
Classification:	H10 - Structure and Scope of Government. General ; g07 ; c05
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012726722