Conceptio › Archive › arXiv (All)
arXiv (All) open access

Unbiased Monte Carlo Greeks for Discontinuous Payoffs

Lakshtanov, Evgeny
arXiv (All) · Papers
Open Source ↗Direct PDF ↓
computational-financepricing-of-securities
Pathwise differentiation of Monte Carlo estimators fails at payoff discontinuities, producing zero or biased sensitivities for barriers, autocallables, and digital options. The industry workaround --- smoothing the indicator functions --- introduces bias and requires per-product calibration. We deri
Conceptio Open Archive

Analyze & explore related research in Conceptio

Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.

This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗

Related documents

Record · ID 973742
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive