In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...

We introduce a new simulation algorithm for computing the Hessians of Bermudan swaptions and cancellable swaps, the resulting pathwise estimates are unbiased and accurate. Given the exercise strategy, the pathwise angularities are removed by a sequence of measure changes. The change of measure...