Computation methods - Smoking adjoints: fast Monte Carlo Greeks

The efficient calculation of price sensitivities continues to be among the greatest practical challenges facing users of Monte Carlo methods in the derivatives industry. Computing Greeks is essential to hedging and risk management, but typically requires substantially more computing time than pricing a derivative. This article shows how an adjoint formulation can be used to accelerate the calculation of the Greeks. This method is particularly well suited to applications requiring sensitivities

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