Monte Carlo methods for derivatives of options with discontinuous payoffs

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3393-3417

  Detemple, Jérôme ^a   Rindisbacher, Marcel ^b  

^a BOSTON UNIVERSITY   (United States)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Covariation; Derivative estimation; Likelihood ratio; Malliavin weight; Second order bias; Simulation; Weak convergence

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; FINANCE; MATHEMATICAL MODELS; RISK MANAGEMENT;

COVARIATION; DERIVATIVE ESTIMATION; LIKELIHOOD RATIO; MALLIAVIN WEIGHT; SECOND ORDER BIAS; WEAK CONVERGENCE;

MONTE CARLO METHODS;

EID: 33847410124     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.032     Document Type: Article

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