In this paper, we present a generic framework known as the minimal partial proxy simulation scheme. This framework allows for a stable computation of the Monte-Carlo Greeks for financial products with trigger features via finite difference approximation. The minimal partial proxy simulation...

We introduce a new class of numerical schemes for discretizing processes driven by Brownian motions. These allow the rapid computation of sensitivities of discontinuous integrals using pathwise methods even when the underlying densities post-discretization are singular. The two new methods...

We develop new Monte Carlo techniques based on stratifying the stock's hitting-times to the barrier for the pricing and Delta calculations of discretely-monitored barrier options using the Black-Scholes model. We include a new algorithm for sampling an Inverse Gaussian random variable such that...