Chebyshev Greeks: smoothing gamma without bias

A numerical method to obtain stable deltas and gammas for complex payoffs is presented


The fast and accurate evaluation of sensitivities can be a hard task. Recent advances, such as adjoint algorithmic differentiation, are unfortunately ineffective on second order Greeks, such as gamma, which are plagued by the most significant instabilities, so that a viable alternative to standard finite differences is still lacking. Andrea Maran, Andrea Pallavicini and Stefano Scoleri apply Chebyshev techniques to the computation of spot Greeks in Monte Carlo

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