.. _sphx_glr_api_gallery_monte_carlo_greeks:

Monte Carlo Greeks
------------------

Sensitivities without bump-and-reprice: the likelihood-ratio and
pathwise estimators, checked against the Black-Scholes Greeks.


.. raw:: html

  <div id='sg-tag-list' class='sphx-glr-tag-list'></div>


.. raw:: html

    <div class="sphx-glr-thumbnails">

.. thumbnail-parent-div-open

.. raw:: html

    <div class="sphx-glr-thumbcontainer" tooltip="Bumping a parameter and re-simulating gives a biased, noisy derivative. Peter Glynn (1987), and Reiman and Weiss (1989), differentiated the density instead of the payoff:">

.. only:: html

  .. image:: /api/gallery/monte_carlo/greeks/images/thumb/sphx_glr_plot_01_likelihood_ratio_thumb.png
    :alt:

  :doc:`/api/gallery/monte_carlo/greeks/plot_01_likelihood_ratio`

.. raw:: html

      <div class="sphx-glr-thumbnail-title">Glynn: likelihood-ratio Greeks</div>
    </div>


.. raw:: html

    <div class="sphx-glr-thumbcontainer" tooltip="Mark Broadie and Paul Glasserman (1996) differentiated each simulated payoff with respect to the parameter and averaged:">

.. only:: html

  .. image:: /api/gallery/monte_carlo/greeks/images/thumb/sphx_glr_plot_02_pathwise_thumb.png
    :alt:

  :doc:`/api/gallery/monte_carlo/greeks/plot_02_pathwise`

.. raw:: html

      <div class="sphx-glr-thumbnail-title">Broadie-Glasserman pathwise Greeks</div>
    </div>


.. thumbnail-parent-div-close

.. raw:: html

    </div>


.. toctree::
   :hidden:

   /api/gallery/monte_carlo/greeks/plot_01_likelihood_ratio
   /api/gallery/monte_carlo/greeks/plot_02_pathwise