Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
Author:
Affiliation:
1. Shanghai Center for Mathematical Sciences, Fudan University, Shanghai, 200433, People's Republic of China
2. School of Mathematical Sciences, Fudan University, Shanghai, 200433, People's Republic of China
Funder
National Key R&D Program of China
National Natural Science Foundation of China
Key Laboratory of Mathematics for Nonlinear Sciences, Fudan University
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2076607
Reference12 articles.
1. A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation
2. Fast Correlation Greeks by Adjoint Algorithmic Differentiation
3. Geweke, J., Efficient simulation from the multivariate normal and student-t distributions subject to linear constraints and the evaluation of constraint probabilities. In Computing Science and Statistics: Proceedings of the 23rd Symposium on the Interface, pp. 571–578, 1991 (Citeseer).
4. Conditioning on One-Step Survival for Barrier Option Simulations
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