Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Pathwise Greek?

Definition 23.7 Derivatives and Volatility · Capítulo 23 — Monte Carlo Pricers in Practice

A pathwise Greek differentiates the discounted payoff along each simulated path with respect to the parameter, holding the random numbers fixed, and averages; it requires the payoff to be continuous in the parameter (almost surely differentiable), and fails for digitals and barriers.

Ler no capítulo →