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...