General Monte Carlo Greeks in Practice: Wilmott Magazine Article – Qimou Su and Curt Randall

This article suggests three Monte Carlo algorithms for the computation of derivative price sensitivities (the “Greeks”). The first algorithm is a finite difference implementation of the likelihood ratio method introduced by Broadie and Glasserman (1996). Two additional schemes further improve the performance and applicability. All implementations are fully numerical and avoid complicated theoretical derivation.

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