Supported by Workshop on Stochastic Analysis and Computational Finance, November 2005 Imperial College (London) G.N. Milstein and M.V. Tretyakov Numerical analysis of Monte Carlo Numerical analysis of Monte Carlo evaluation of Greeks by finite differences evaluation of Greeks by finite differences J. Comp. Fin. 8, No 3 (2005), 1-
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Supported by Workshop on Stochastic Analysis and Computational Finance, November 2005 Imperial College (London) G.N. Milstein and M.V. Tretyakov Numerical.
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Supported by
Workshop on Stochastic Analysis and Computational Finance, November 2005Imperial College (London)
G.N. Milstein and M.V. Tretyakov
Numerical analysis of Monte Carlo Numerical analysis of Monte Carlo evaluation of Greeks by finite differencesevaluation of Greeks by finite differences
J. Comp. Fin. 8, No 3 (2005), 1-33
MC evaluation of Greeks by finite differencesMC evaluation of Greeks by finite differences
Plan ModelModel Other approachesOther approaches Finite difference approach Finite difference approach Numerical integration errorNumerical integration error Monte Carlo errorMonte Carlo error Other GreeksOther Greeks Numerical examplesNumerical examples ConclusionsConclusions
Approximate deltas by finite differences taking into account that the price is evaluated by weak-sense numerical integration of SDEs together with the MC technique
Exploit the method of dependent realizations in the MC simulations