Department of Mathematics
Direct methods for estimating Greeks with Monte Carlo.
Karel in 't Hout
Boise State University
After a brief introduction into the pricing of options, using Monte Carlo simulation and stochastic differential equations, the talk would focus on estimating the sensitivities, the so-called Greeks, of option prices with respect to parameters that occur in the differential equation such as the interest rates and the volatility. These quantities play an important role in applications.
All interested persons are welcome.