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arxiv: 0807.1213 · v1 · submitted 2008-07-08 · 💱 q-fin.CP · math.NA· math.PR

Monte Carlo Greeks for financial products via approximative transition densities

classification 💱 q-fin.CP math.NAmath.PR
keywords approximativecarlodensitiesestimatorsgreeksmonteanalyticalapplied
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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.

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