Topics in Computational Finance (SS 2012)

MC estimation of Greeks

• Section 1.2

m files

• Finite difference estimators
• Common vs independent samples (m file)
• RMSE of a CD estimator for a digital call delta (zip file)
• Least Squares Monte Carlo
• Evaluation of American put options with LSMC (m file by Benjamin Schickner)

S1G1 Seminar: Optionsbewertung im Binomialmodell (SS 2012)

Superreplikation von amerikanischen Optionen (pdf)