Monte Carlo Greeks for financial products via approximative transition densities

Details Monte Carlo Greeks for financial products via approximative transition densities Monte Carlo Greeks for financial products via approximative transition densities

2008-07-08

arxiv.org/abs/0807.1213v1

Economy

Quantitative Finance

Computational Finance

24 pages

Scientific paper

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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