Monte Carlo Greeks for financial products via approximative Greenian Kernels
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1208 | |
| dc.contributor.author | Kampen, Joerg | |
| dc.contributor.author | Kolodko, Anastasia | |
| dc.contributor.author | Schoenmakers, John G.M. | |
| dc.date.accessioned | 2016-03-24T17:38:14Z | |
| dc.date.available | 2019-06-28T08:02:30Z | |
| dc.date.issued | 2007 | |
| dc.description.abstract | 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. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2717 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1851 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | American options | eng |
| dc.subject.other | Sensitivities | eng |
| dc.subject.other | Monte-Carlo methods | eng |
| dc.subject.other | WKB expansions | eng |
| dc.title | Monte Carlo Greeks for financial products via approximative Greenian Kernels | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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