Timeline for Greeks: Why does my Monte Carlo give correct delta but incorrect gamma?
Current License: CC BY-SA 3.0
2 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 8, 2015 at 21:49 | comment | added | Mark Joshi | Straight differentiation doesn't work when the pay-off has discontinuous first derivative. Making it adjoint only affects computational order not accuracy. | |
| Jun 8, 2015 at 20:47 | history | answered | phubaba | CC BY-SA 3.0 |