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Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
2016
Quantitative finance (Print)
Monte Carlo simulation methods have become more and more important in the nancial sector in the past years. In this paper, we introduce a new simulation method for the estimation of the derivatives of prices of nancial contracts with respect to (w.r.t.) certain distributional parameters, called the Greeks . In particular, we assume that the underlying nancial process is a Lévy-type process in discrete time. Our method is based on the Measure Valued Dierentiation (MVD) approach, which allows to
doi:10.1080/14697688.2015.1114364
fatcat:z32eedxa25hfjinrtymkrzczbi