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Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
File(s)
SSRN-id2911698.pdf (977.98 KB)
Accepted version
Author(s)
Scoleri, Stefano
Bianchetti, Marco
Kucherenko, Sergei
Type
Working Paper
Date Issued
2017-02-06
Citation
2017
URI
Copyright Statement
© the authors
Subjects
derivative
option
European
Asian
barrier
knock-out
cliquet
greeks
Monte Carlo
Quasi Monte Carlo
random
pseudo random
quasi random
low discrepancy
Sobol'
convergence
speed-up
Brownian bridge
global sensitivity analysis
principal component analysis
AAD