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

  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},
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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Scrambling Sobol' and Niederreiter-Xing Points

  • A. Owen
  • Computer Science
    J. Complex.
  • 1998
This paper shows that scrambled ( t ,  m,  s )-nets enjoy the same properties as scrambled (0,  m ,  s)-nets, except the sampling variance is guaranteed only to be below b t [( b +1)/( b −1)] s times the Monte Carlo variance for a least-favorable integrand and finite n.