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Estimating Security Price Derivatives Using Simulation

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Cited by:

  1. Kloeden Peter E. & Sanz-Chacón Carlos, 2011. "Efficient price sensitivity estimation of financial derivatives by weak derivatives," Monte Carlo Methods and Applications, De Gruyter, vol. 17(1), pages 47-75, January.
  2. L. Jeff Hong & Sandeep Juneja & Jun Luo, 2014. "Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(4), pages 848-865, November.
  3. Jilong Chen & Christian Ewald, 2017. "On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-32, March.
  4. Bourgey Florian & De Marco Stefano & Gobet Emmanuel & Zhou Alexandre, 2020. "Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations," Monte Carlo Methods and Applications, De Gruyter, vol. 26(2), pages 131-161, June.
  5. Guangwu Liu & Liu Jeff Hong, 2009. "Kernel estimation of quantile sensitivities," Naval Research Logistics (NRL), John Wiley & Sons, vol. 56(6), pages 511-525, September.
  6. L. Jeff Hong, 2009. "Estimating Quantile Sensitivities," Operations Research, INFORMS, vol. 57(1), pages 118-130, February.
  7. Eric Benhamou, 2000. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," FMG Discussion Papers dp350, Financial Markets Group.
  8. Gilles Pag`es & Olivier Pironneau & Guillaume Sall, 2016. "Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options," Papers 1606.06143, arXiv.org.
  9. Mark J. Cathcart & Steven Morrison & Alexander J. McNeil, 2011. "Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation," Papers 1110.4516, arXiv.org.
  10. Alexander Chupin & Zhanna Chupina & Marina Bolsunovskaya & Svetlana Shirokova & Zinaida Kulyashova & Tatyana Vorotinceva, 2024. "Sustainable Entrepreneurship: Interval Analysis in Risk Management and Uncertain Economies," Sustainability, MDPI, vol. 16(18), pages 1-25, September.
  11. Koch, Erwan & Robert, Christian Y., 2022. "Stochastic derivative estimation for max-stable random fields," European Journal of Operational Research, Elsevier, vol. 302(2), pages 575-588.
  12. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.
  13. Dan Pirjol & Lingjiong Zhu, 2018. "Sensitivities Of Asian Options In The Black–Scholes Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-25, February.
  14. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
  15. A. Agarwal & S. De Marco & E. Gobet & J. G. Lopez-Salas & F. Noubiagain & A. Zhou, 2024. "Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements," Papers 2408.01185, arXiv.org.
  16. Eric Benhamou, 2003. "Optimal Malliavin Weighting Function for the Computation of the Greeks," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 37-53, January.
  17. Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023. "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, vol. 150(3).
  18. Paul Bilokon & Sergei Kucherenko & Casey Williams, 2022. "Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU," Papers 2209.11337, arXiv.org.
  19. Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007. "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3604-3620, December.
  20. Jourdain Benjamin & Sbai Mohamed, 2007. "Exact retrospective Monte Carlo computation of arithmetic average Asian options," Monte Carlo Methods and Applications, De Gruyter, vol. 13(2), pages 135-171, July.
  21. Chris Kenyon & Andrew Green, 2014. "Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning," Papers 1412.5332, arXiv.org, revised Dec 2014.
  22. Arturo Kohatsu & Montero Miquel, 2003. "Malliavin calculus in finance," Economics Working Papers 672, Department of Economics and Business, Universitat Pompeu Fabra.
  23. Xiaoqun Wang, 2016. "Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing," Operations Research, INFORMS, vol. 64(2), pages 297-314, April.
  24. BRATIAN Vasile, 2017. "Options Evaluation Using Monte Carlo Simulation," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(4), pages 30-42, November.
  25. Abhishek Kumar & Ashwin Waikos & Siddhartha P. Chakrabarty, 2011. "Pricing of average strike Asian call option using numerical PDE methods," Papers 1106.1999, arXiv.org.
  26. Guillaume Bernis & Emmanuel Gobet & Arturo Kohatsu‐Higa, 2003. "Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 99-113, January.
  27. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138, April.
  28. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
  29. Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 25-34.
  30. Mascagni Michael & Qiu Yue & Hin Lin-Yee, 2014. "High performance computing in quantitative finance: A review from the pseudo-random number generator perspective," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 101-120, June.
  31. Silvana M. Pesenti & Pietro Millossovich & Andreas Tsanakas, 2023. "Differential Quantile-Based Sensitivity in Discontinuous Models," Papers 2310.06151, arXiv.org, revised Oct 2024.
  32. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.
  33. L. Jeff Hong & Guangwu Liu, 2010. "Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations," Operations Research, INFORMS, vol. 58(2), pages 357-370, April.
  34. 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.
  35. Wanmo Kang & Jong Mun Lee, 2019. "Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 334-353, February.
  36. Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(1), pages 75-81.
  37. 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.
  38. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  39. He, Zhijian, 2022. "Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo," European Journal of Operational Research, Elsevier, vol. 298(1), pages 229-242.
  40. Chao Yu & Xiaoqun Wang, 2023. "Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 325-360, June.
  41. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  42. Guangwu Liu & L. Jeff Hong, 2011. "Kernel Estimation of the Greeks for Options with Discontinuous Payoffs," Operations Research, INFORMS, vol. 59(1), pages 96-108, February.
  43. Ron Kaniel & Stathis Tompaidis & Alexander Zemlianov, 2008. "Efficient Computation of Hedging Parameters for Discretely Exercisable Options," Operations Research, INFORMS, vol. 56(4), pages 811-826, August.
  44. Ewald, Christian & Zou, Yihan, 2021. "Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?," European Journal of Operational Research, Elsevier, vol. 294(2), pages 801-815.
  45. Xin Yun & L. Jeff Hong & Guangxin Jiang & Shouyang Wang, 2019. "On gamma estimation via matrix kriging," Naval Research Logistics (NRL), John Wiley & Sons, vol. 66(5), pages 393-410, August.
  46. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  47. Patrik Karlsson, 2018. "Finite element based Monte Carlo simulation of options on Lévy driven assets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-23, March.
  48. Nan Chen & Yanchu Liu, 2014. "American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach," Operations Research, INFORMS, vol. 62(3), pages 616-632, June.
  49. Wei Yuan & Ahmet Göncü & Giray Ökten, 2015. "Estimating sensitivities of temperature-based weather derivatives," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1942-1955, April.
  50. 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.
  51. Pedro Duarte Gomes, 2024. "Mathematics of Differential Machine Learning in Derivative Pricing and Hedging," Papers 2405.01233, arXiv.org.
  52. Arturo Kohatsu-Higa & Miquel Montero, 2001. "An application of Malliavin Calculus to Finance," Papers cond-mat/0111563, arXiv.org.
  53. F Bourgey & S de Marco & Emmanuel Gobet & Alexandre Zhou, 2020. "Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations," Post-Print hal-02430430, HAL.
  54. T. R. Cass & P. K. Friz, 2006. "The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance," Papers math/0604311, arXiv.org, revised May 2007.
  55. Zhenyu Cui & Michael C. Fu & Jian-Qiang Hu & Yanchu Liu & Yijie Peng & Lingjiong Zhu, 2020. "On the Variance of Single-Run Unbiased Stochastic Derivative Estimators," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 390-407, April.
  56. Vasile BRÄ‚TIAN, 2018. "Evaluation of Options using the Monte Carlo Method and the Entropy of Information," Expert Journal of Economics, Sprint Investify, vol. 6(2), pages 35-43.
  57. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2002. "Efficient, exact algorithms for asian options with multiresolution lattices," Review of Derivatives Research, Springer, vol. 5(2), pages 181-203, May.
  58. Andrew Na & Justin Wan, 2023. "Efficient Pricing and Hedging of High Dimensional American Options Using Recurrent Networks," Papers 2301.08232, arXiv.org.
  59. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.
  60. 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.
  61. Sara Ana Solanilla Blanco, 2024. "Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices," Papers 2403.00006, arXiv.org.
  62. 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.
  63. Michael C. Fu, 2019. "Simulation-Based Algorithms for Markov Decision Processes: Monte Carlo Tree Search from AlphaGo to AlphaZero," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(06), pages 1-25, December.
  64. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2018. "Most-Likely-Path In Asian Option Pricing Under Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  65. F Bourgey & S de Marco & Emmanuel Gobet & Alexandre Zhou, 2020. "Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations," Working Papers hal-02430430, HAL.
  66. Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
  67. 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.
  68. Jiun Hong Chan and Mark Joshi, 2012. "Optimal Limit Methods for Computing Sensitivities of," Department of Economics - Working Papers Series 1142, The University of Melbourne.
  69. Zhiping Chen & Wentao Ma, 2024. "A Bayesian approach to data-driven multi-stage stochastic optimization," Journal of Global Optimization, Springer, vol. 90(2), pages 401-428, October.
  70. Andrés D. Fundia & Francisco Venegas-Martínez, 2004. "Probabilistic Greeks," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(3), pages 303-311, Septiembr.
  71. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org, revised Aug 2018.
  72. Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
  73. Benhamou, Eric, 2000. "A generalisation of Malliavin weighted scheme for fast computation of the Greeks," LSE Research Online Documents on Economics 119105, London School of Economics and Political Science, LSE Library.
  74. L. Jeff Hong & Guangwu Liu, 2009. "Simulating Sensitivities of Conditional Value at Risk," Management Science, INFORMS, vol. 55(2), pages 281-293, February.
  75. Orozco-Garcia, Carolina & Schmeiser, Hato, 2015. "How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 77-93.
  76. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
  77. Pellegrino, Tommaso & Sabino, Piergiacomo, 2014. "On the use of the moment-matching technique for pricing and hedging multi-asset spread options," Energy Economics, Elsevier, vol. 45(C), pages 172-185.
  78. Shafi, Khuram & Latif, Natasha & Shad, Shafqat Ali & Idrees, Zahra & Gulzar, Saqib, 2018. "Estimating option greeks under the stochastic volatility using simulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1288-1296.
  79. L. Jeff Hong & Yi Yang & Liwei Zhang, 2011. "Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach," Operations Research, INFORMS, vol. 59(3), pages 617-630, June.
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  81. Yongqiang Wang & Michael C. Fu & Steven I. Marcus, 2012. "A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives," Operations Research, INFORMS, vol. 60(2), pages 447-460, April.
  82. Pierre-Antoine Arsaguet & Paul Bilokon, 2023. "Derivatives Sensitivities Computation under Heston Model on GPU," Papers 2309.10477, arXiv.org.
  83. Farzad Fard & Ning Rong, 2014. "Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process," Annals of Finance, Springer, vol. 10(2), pages 315-332, May.
  84. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  85. Yangang Chen & Justin W. L. Wan, 2019. "Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions," Papers 1909.11532, arXiv.org.
  86. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
  87. Mark Broadie & Özgür Kaya, 2006. "Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes," Operations Research, INFORMS, vol. 54(2), pages 217-231, April.
  88. Luca Capriotti & Yupeng Jiang & Andrea Macrina, 2015. "Real-time risk management: An AAD-PDE approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-31, December.
  89. J. Lars Kirkby & Duy Nguyen, 2020. "Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models," Annals of Finance, Springer, vol. 16(3), pages 307-351, September.
  90. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  91. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
  92. Zhaolin Hu & Dali Zhang, 2018. "Utility‐based shortfall risk: Efficient computations via Monte Carlo," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(5), pages 378-392, August.
  93. Magnus Grønnegaard Frandsen & Tobias Cramer Pedersen & Rolf Poulsen, 2022. "Delta force: option pricing with differential machine learning," Digital Finance, Springer, vol. 4(1), pages 1-15, March.
  94. Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
  95. Zhiyi Shen, 2022. "Out-of-Model Adjustments of Variable Annuities," Papers 2208.12838, arXiv.org.
  96. Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
  97. Christian P. Fries & Joerg Kampen, 2005. "Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)," Finance 0504010, University Library of Munich, Germany.
  98. Lu, King-Jeng & Liang, Chiung-Ju & Hsieh, Ming-Hua & Lee, Yi-Hsi, 2020. "An effective hybrid variance reduction method for pricing the Asian options and its variants," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  99. Siddiqi, Mazhar A., 2009. "Investigating the effectiveness of convertible bonds in reducing agency costs: A Monte-Carlo approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1360-1370, November.
  100. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & José G López-Salas & Fanny Noubiagain & Alexandre Zhou, 2019. "Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements," Post-Print hal-01686952, HAL.
  101. Hans‐Peter Bermin & Arturo Kohatsu‐Higa & Miquel Montero, 2003. "Local Vega Index and Variance Reduction Methods," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 85-97, January.
  102. Dan Pirjol & Lingjiong Zhu, 2023. "Sensitivities of Asian options in the Black-Scholes model," Papers 2301.06460, arXiv.org.
  103. Shaolong Tong & Guangwu Liu, 2016. "Importance Sampling for Option Greeks with Discontinuous Payoffs," INFORMS Journal on Computing, INFORMS, vol. 28(2), pages 223-235, May.
  104. Erwan Koch & Christian Y. Robert, 2018. "Stochastic derivative estimation for max-stable random fields," Papers 1812.05893, arXiv.org, revised Nov 2020.
  105. Nils Bertschinger & Axel A. Araneda, 2021. "Cross-ownership as a structural explanation for rising correlations in crisis times," Papers 2112.04824, arXiv.org.
  106. 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.
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