التفاصيل البيبلوغرافية
| العنوان: |
ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS. |
| المؤلفون: |
DALUISO, ROBERTO1,2 roberto.daluiso@bancaimi.com, FACCHINETTI, GIORGIO1 giorgio.facchinetti@bancaimi.com |
| المصدر: |
International Journal of Theoretical & Applied Finance. Jun2018, Vol. 21 Issue 4, pN.PAG-N.PAG. 41p. |
| مصطلحات موضوعية: |
*PRICES, *FINANCE, *MONTE Carlo method, *CONSUMPTION (Economics), *BENCHMARKING (Management) |
| مستخلص: |
We present a general technique to compute the sensitivities of the Monte Carlo prices of discontinuous financial products. It is a natural extension of the pathwise adjoints method, which would require an almost-surely differentiable payoff; the efficiency of the latter method when many sensitivities must be calculated is preserved. We show empirically that the new algorithm is competitive in terms of accuracy and execution time when compared to benchmarks obtained by smoothing of the payoff, which benchmarks are biased and require a nonobvious tuning of their parameters. [ABSTRACT FROM AUTHOR] |
|
Copyright of International Journal of Theoretical & Applied Finance is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| قاعدة البيانات: |
Business Source Index |
Full Text Finder