QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
2003 ◽
Vol 06
(08)
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pp. 865-884
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In this paper we consider the evaluation of sensitivities of options on spots and forward contracts in commodity and energy markets. We derive different expressions for these sensitivities, based on techniques from the recently introduced Malliavin approach [8, 9]. The Malliavin approach provides representations of the sensitivities in terms of expectations of the payoff and a random variable only depending on the underlying dynamics. We apply Monte–Carlo methods to evaluate such expectations, and to compare with numerical differentiation. We propose to use a refined quasi Monte–Carlo method based on adaptive techniques to reduce variance. Our approach gives a significant improvement of convergence.
Keyword(s):
Keyword(s):
2017 ◽
Vol 86
(308)
◽
pp. 2827-2860
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2007 ◽
Vol 03
(02)
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pp. 259-269
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Keyword(s):