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q-fin.CP2008
Monte Carlo Greeks for financial products via approximative transition densities
Joerg Kampen, Anastasia Kolodko, John Schoenmakers
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…
math.FA2008
Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
Joerg Kampen
In a rather general setting of multivariate stochastic volatility market models we derive global iterative probabilistic schemes for computing the free boundary and its Greeks for…