Kernel estimation of Greek weights by parameter randomization

Romuald Elie, Jean-David Fermanian, Nizar Touzi

A Greek weight associated to a parameterized random variable $Z(\lambda )$ is a random variable $\pi$ such that ${\nabla }_{\lambda }E[\varphi (Z(\lambda ))]=E[\varphi (Z(\lambda ))\pi ]$ for any function $\varphi$. The importance of the…