2008/07/08 by Joerg Kampen, Kampen, Joerg, Anastasia Kolodko +3
Economics, Econometrics and Finance · #60H10 #62G07 #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.0807.1213
openalex publication_date 2008/07/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (''Greeks''). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities obtained by the WKB method. The results are applied in the context of a Libor market model.