5 citations · 5 across the 3 of their papers we have counts for
3 papers
Multilevel Monte Carlo learning
Thomas Gerstner, Bastian Harrach, Daniel Roth +1
In this work, we study the approximation of expected values of functional quantities on the solution of a stochastic differential equation (SDE), where we replace the Monte Carlo e…
Convergence of Milstein Brownian bridge Monte Carlo methods and stable Greeks calculation
Thomas Gerstner, Bastian Harrach, Daniel Roth
We consider the pricing and the sensitivity calculation of continuously monitored barrier options. Standard Monte Carlo algorithms work well for pricing these options. Therefore th…
Monte Carlo pathwise sensitivities for barrier options
Thomas Gerstner, Bastian Harrach, Daniel Roth
The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the…