Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
Author
Abstract
Suggested Citation
DOI: 10.1287/moor.2017.0926
Download full text from publisher
References listed on IDEAS
- Alexandros Beskos & Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "A Factorisation of Diffusion Measure and Finite Sample Path Constructions," Methodology and Computing in Applied Probability, Springer, vol. 10(1), pages 85-104, March.
- Kay Giesecke & Dmitry Smelov, 2013. "Exact Sampling of Jump Diffusions," Operations Research, INFORMS, vol. 61(4), pages 894-907, August.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
- Manuela Larguinho & José Carlos Dias & Carlos A. Braumann, 2013. "On the computation of option prices and Greeks under the CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 907-917, May.
- Alexandros Beskos & Omiros Papaspiliopoulos & Gareth O. Roberts & Paul Fearnhead, 2006. "Exact and computationally efficient likelihood‐based estimation for discretely observed diffusion processes (with discussion)," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 333-382, June.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001. "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, vol. 5(2), pages 201-236.
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
- Bruno Casella & Gareth O. Roberts, 2011. "Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 449-473, September.
- Casella, Bruno & Roberts, Gareth O., 2011. "Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications," MPRA Paper 95217, University Library of Munich, Germany.
- Nan Chen & Zhengyu Huang, 2013. "Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 591-616, August.
- Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andersson, Patrik & Kohatsu-Higa, Arturo & Yuasa, Tomooki, 2020. "Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5543-5574.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.
- Giesecke, K. & Schwenkler, G., 2019. "Simulated likelihood estimators for discretely observed jump–diffusions," Journal of Econometrics, Elsevier, vol. 213(2), pages 297-320.
- Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
- Arturo Kohatsu-Higa & Miquel Montero, 2001. "An application of Malliavin Calculus to Finance," Papers cond-mat/0111563, arXiv.org.
- Michael C. Fu, 2008. "What you should know about simulation and derivatives," Naval Research Logistics (NRL), John Wiley & Sons, vol. 55(8), pages 723-736, December.
- Montero, Miquel & Kohatsu-Higa, Arturo, 2003. "Malliavin Calculus applied to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 548-570.
- Hermann, Simone & Ickstadt, Katja & Müller, Christine H., 2018. "Bayesian prediction for a jump diffusion process – With application to crack growth in fatigue experiments," Reliability Engineering and System Safety, Elsevier, vol. 179(C), pages 83-96.
- Tebaldi, Claudio, 2005.
"Hedging using simulation: a least squares approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
- Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
- Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, vol. 51(11), pages 1657-1675, November.
- Cont, Rama & Lu, Yi, 2016. "Weak approximation of martingale representations," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 857-882.
- Chen, Nan & Glasserman, Paul, 2007. "Malliavin Greeks without Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1689-1723, November.
- Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
- Kay Giesecke & Dmitry Smelov, 2013. "Exact Sampling of Jump Diffusions," Operations Research, INFORMS, vol. 61(4), pages 894-907, August.
- Maria Elvira Mancino & Simona Sanfelici, 2020. "Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks," Risks, MDPI, vol. 8(4), pages 1-17, November.
- Anne Laure Bronstein & Gilles Pagès & Jacques Portès, 2013. "Multi-asset American Options and Parallel Quantization," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 547-561, September.
- K. Giesecke & H. Kakavand & M. Mousavi, 2011. "Exact Simulation of Point Processes with Stochastic Intensities," Operations Research, INFORMS, vol. 59(5), pages 1233-1245, October.
- Dan Pirjol & Lingjiong Zhu, 2023. "Sensitivities of Asian options in the Black-Scholes model," Papers 2301.06460, arXiv.org.
- Madalina Deaconu & Samuel Herrmann, 2023. "Strong Approximation of Bessel Processes," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
- Wensheng Yang & Jingtang Ma & Zhenyu Cui, 2021. "Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 359-412, April.
More about this item
Keywords
unbiased estimator; sensitivity estimation; derivative estimation; Greeks; Beskos-Roberts method; Poisson kernel method;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormoor:v:44:y:2019:i:1:p:334-353. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.