Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
نویسندگان
چکیده
منابع مشابه
Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
We show how Adjoint Algorithmic Differentiation can be combined with the so-called Pathwise Derivative and Likelihood Ratio Method to construct efficient Monte Carlo estimators of second order price sensitivities of derivative portfolios. We demonstrate with a numerical example how the proposed technique can be straightforwardly implemented to greatly reduce the computation time of second order...
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ژورنال
عنوان ژورنال: Algorithmic Finance
سال: 2015
ISSN: 2157-6203,2158-5571
DOI: 10.3233/af-150045