کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
480512 | 1445973 | 2016 | 14 صفحه PDF | دانلود رایگان |
• Ways of computing sensitivities for acceptance–rejection simulation are introduced.
• We use minimal measure changes to prevent changes in rejection decisions.
• We develop low-variance estimators for Greeks in Levy process models.
• We also look at applications to performance measures for queuing systems.
• Extensive numerical results are presented.
We compute first- and second-order sensitivities of functions simulated by rejection techniques. The methodology is to perform a measure change on every acceptance test, so that the pathwise discontinuities resulting from the rejection decisions are removed. The change of measure is chosen to be optimal in terms of minimizing variances of the likelihood ratio terms. Applications are presented for computing Greeks of equity options with certain Le´vy-driven underlyings and to finding sensitivities of performance measures in queueing systems. The numerical results demonstrate the efficacy and speed of the method.
Journal: European Journal of Operational Research - Volume 254, Issue 3, 1 November 2016, Pages 875–888