کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
418220 681620 2007 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Monte Carlo methods for derivatives of options with discontinuous payoffs
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Monte Carlo methods for derivatives of options with discontinuous payoffs
چکیده انگلیسی

Various Monte Carlo methods have been proposed to estimate the derivatives of contingent claims prices. The Monte Carlo approximate likelihood ratio estimator is studied. Recent convergence results are extended in order to show that the Monte Carlo approximate likelihood ratio derivative estimator is asymptotically equivalent, up to a second-order bias component, to an estimator based on a covariation approximation, the Monte Carlo Covariation estimator. Both converge slower than the Monte Carlo Malliavin derivative estimators. Theoretical convergence results are illustrated in a numerical experiment dealing with the risk management of digital options in a CEV model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 7, 1 April 2007, Pages 3393–3417
نویسندگان
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