Laboratoire de Probabilités et Modèles Aléatoires
This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.
Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other methods.