Quasi-Monte Carlo Methods for Calculating Derivatives Sensitivities on the GPU

@article{Bilokon2022QuasiMonteCM,
  title={Quasi-Monte Carlo Methods for Calculating Derivatives Sensitivities on the GPU},
  author={Paul Bilokon and Sergei S. Kucherenko and Casey Williams},
  journal={SSRN Electronic Journal},
  year={2022}
}
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous payoff functions. The Quasi-Monte Carlo-based conditional pathwise method (QMC-CPW) for options Greeks allows the payoff function of options to be effectively smoothed, allowing for increased efficiency when calculating sensitivities. Also demonstrated in literature is the increased computational speed gained by… 

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