Vega KT for the Local Volatility Model : An AD Approach

We present an efficient algorithm for computing the Vega KT in the local volatility model based on the calculation of the local Vega through Monte-Carlo simulation and algorithmic differentiation. In comparison with the PDE algorithm presented in [Guennoun], our algorithm is applicable for general multi-dimensional exotic options

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Year of publication:	[2022]
Authors:	Adrien, Joachim ; Conze, Antoine ; Henry-Labordere, Pierre ; Louzir, Rachid ; Mahi, Rida ; Mathieu, Luc ; Messaoud, Marouen ; Monciaud, Florian ; Muller, Claude ; Reghai, Adil
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory

Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 12, 2022 erstellt
Other identifiers:	10.2139/ssrn.4107770 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013288869