Likelihood ratio sensitivities expand Differential ML to discontinuous payoffs and reduce pricing and hedging errors compared with pathwise adjoint differentiation.
Glasserman (2007) Malliavin Greeks without Malliavin calculus, Stochastic Processes and their Applications117(1), 1689–1723
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Differential ML with a Difference
Likelihood ratio sensitivities expand Differential ML to discontinuous payoffs and reduce pricing and hedging errors compared with pathwise adjoint differentiation.