Estimating Greeks in Simulating Lévy-Driven Models
نویسندگان
چکیده
منابع مشابه
Estimating Greeks in Simulating Lévy-Driven Models
We develop methods for estimating price sensitivities by simulation for Lévy-driven models. The methods combine pathwise derivatives and likelihood ratio method estimators with alternative approaches to approximating and simulating Lévy processes. We develop estimators based on exact sampling of increments, time-change representations of Lévy processes, saddlepoint approximations to the score f...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2010
ISSN: 1460-1559
DOI: 10.21314/jcf.2010.210