Brian B
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 May10 comment How to get greeks using Monte-Carlo for arbitrary option? For the curious, the "dual number" approach referenced here is an automatic differentiation package, where the bookkeeping mostly handled by C++ templates and extensions to the standard numeric types. Derivatives of transcendental functions are handled by automatic differentiation of the numerical analytic series approximations used to calculate function values. (Please correct any mistakes I have made in that) May7 comment How to get greeks using Monte-Carlo for arbitrary option? I'll also note that, as @Dirk and I read the question, Alexey does not necessarily have the source code to the option pricer. May7 comment How to get greeks using Monte-Carlo for arbitrary option? You're right, I now see it is not finite differences. I would find the simplicity of your example far more convincing if you demonstrated calculating, say, delta of an average strike option under the the Black-Scholes stochastic model. It seems to me the transcendental functions involved make this difficult even for vanilla options. Path dependencies will make the problem much worse. May7 comment Can American options with no dividends and zero risk-free rate be treated as European? Technically, call options can be optimal to exercise early if $r<0$. $r$ rarely if ever goes sufficiently negative on its own, though. May4 answered Why use swap-rates in a yield curve? Apr27 comment What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer? You can get numbers from the classical Merton structural model using Bloomberg. In both theory and practice the hedge ratio is highly dependent on leverage so you will get results even poorer than the usual dismal ones for equity/credit if you do not take that into account. Apr27 comment How to get greeks using Monte-Carlo for arbitrary option? A novel method. It appears mathematically equivalent to finite differences. Also worth noting is that all samples need to remain in memory, at least if I read this stuff right. It would be informative to see code applied to a nontrivial estimator function. Apr27 comment How to get greeks using Monte-Carlo for arbitrary option? That vibrato Monte Carlo thesis is very interesting. Apr26 comment definition for “the viscosity” in financial market data series You can measure whatever you want...there is no standard definition of viscosity in financial mathematics. Most stochastic modelers would take it to mean terms involving $\nabla^2 V$ in the associated Feynman-Kac PDE, which is clearly very different from the simple heuristics you have in mind here. Apr25 revised How to get greeks using Monte-Carlo for arbitrary option? add not beng able to control $M$ Apr24 answered How to get greeks using Monte-Carlo for arbitrary option? Apr20 comment application of lie groups in finance Well, we do use $\mathbb{R}^n$ all the time. Apr20 comment Analytical relationship between a covariance matrix and cross-sectional dispersion Interesting question. I wonder if there really exists a convenient expression for it. I would say you should try playing with the 3-variable version in Mathematica and work to $N$ variables only if you succeed in getting an acceptably simple expression in 3 variables. You may need to switch to variance, and use convecity corrections to adapt that to standard deviation. Apr12 revised calculating arbitrage-free ranges based off outright, spread, and fly prices add flag Apr11 comment A few questions about signs of the Greek letters Well consider just the zero-vol value of an in-the-money option. Here $C=e^{-rT}(S_0 e^{rT} - K)^+$ or $S_0 - e^{-rT}K$ and so the rho is simply $T e^{-rT} K$, very positive. Basically, the increase in forward value has overwhelmed the decrease due to discounting. Pathological setting of parameters may give negative rho in some cases, but this is the gist of why rho of calls is generally positive. Apr10 answered calculating arbitrage-free ranges based off outright, spread, and fly prices Apr10 answered A few questions about signs of the Greek letters Apr10 answered Does put-call parity hold for a compound option with underlying American option? Apr10 revised Constructing an approximation of the S&P 500 volatility smile with publicly available data VVIX reference Apr10 comment Constructing an approximation of the S&P 500 volatility smile with publicly available data @vonjd: VVIX is more like the varvol (or vol of vol) parameter found in stochastic volatility models. What onlyvix provides here is a common parameterization of the skew curve with convenient simplicity. See this question for more on that.