Importance sampling for option Greeks with discontinuous payoffs

Shaolong Tong; Guangwu Liu

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Importance sampling for option Greeks with discontinuous payoffs

机译：具有不连续收益的选项希腊语的重要性抽样

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摘要

To propose a new method based on importance sampling for estimating the Greeks for options with discontinuous payoffs.

机译：提出基于重要性采样的新方法，用于估计具有不连续收益的选项的希腊语。

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来源
《Quality Control and Applied Statistics》 |2017年第3期|共2页
作者
Shaolong Tong; Guangwu Liu;
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作者单位

Department of Management Sciences City University of Hong Kong Kowloon Hong Kong;

Department of Management Sciences City University of Hong Kong Kowloon Hong Kong;

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正文语种 eng
中图分类概率论、数理统计的应用;
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专利

1. Importance sampling for option Greeks with discontinuous payoffs [J] . Shaolong Tong, Guangwu Liu Quality Control and Applied Statistics . 2017,第3期

机译：具有不连续收益的选项希腊语的重要性抽样
2. Importance Sampling for Option Greeks with Discontinuous Payoffs [J] . Shaolong Tong, Guangwu Liu INFORMS journal on computing . 2016,第2期

机译：具有不连续收益的期权希腊人的重要性抽样
3. Kernel estimation of the greeks for options with discontinuous payoffs [J] . Liu G., Hong L.J. Operations Research: The Journal of the Operations Research Society of America . 2011,第1期

机译：具有不连续收益的期权的希腊文核估计
4. Optimal hedging of basket options using smooth payoff functions: Comparison with super-hedging strategy [C] . Yamada Yuji 2012 American Control Conference. . 2012

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5. Stock options: To expense or not to expense. A comparison of economic determinants, firm payoffs, and pay-performance sensitivity of executive stock option compensation. [D] . Wood, Barbara. 2005

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Importance sampling for option Greeks with discontinuous payoffs

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