Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Kernel Estimation of the Greeks for Options with Discontinuous Payoffs

14 references·8 citing·36 second hop

FromToDepth

this work references cited by second hop

References

2016“Options, Futures, and Other Derivatives”5,007 cited
2003Options, Futures and Other Derivatives3,864 cited
2003Monte Carlo Methods in Financial Engineering3,818 cited
2007Stochastic Simulation1,121 cited
2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
1996Estimating Security Price Derivatives Using Simulation449 cited
1983Perturbation analysis and optimization of queueing networks296 cited
1987Smoothed (conditional) perturbation analysis of discrete event dynamical systems222 cited
1987Likelilood ratio gradient estimation219 cited
2011Conditional Monte Carlo: Gradient Estimation and Optimization Applications200 cited
2008Estimating Quantile Sensitivities152 cited
2006Chapter 19 Gradient Estimation133 cited
2002An overview of derivative estimation84 cited
2007Malliavin Greeks without Malliavin calculus70 cited

Cited by

2018A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters68 cited
2013

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Nonlinear portfolio selection using approximate parametric Value-at-Risk

39 cited

2012A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives31 cited

2019Online Risk Monitoring Using Offline Simulation30 cited

2014American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach22 cited

2012FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS21 cited

2020Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections19 cited

2011Algorithmic Hessians and the fast computation of cross-gamma risk18 cited