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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach

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American Option Sensitivities Estimation via a Generalized IPA Approach

Chen, Nan - 2019

In this paper we develop efficient Monte Carlo methods for estimating American option sensitivities. The problem can be re-formulated as how to perform sensitivity analysis for a stochastic optimization problem when it has model uncertainty. We introduce a generalized infinitesimal perturbation...

Persistent link: https://www.econbiz.de/10012905902