tr-announce Januar 2018

tr-announce@lists.rwth-aachen.de

1 Teilnehmer
1 Diskussionen

2018-02: Fast Estimates of Greeks from American Options: A Case Study in Adjoint Algorithmic Differentiation

von Jera Hensel

The following technical report is available from http://aib.informatik.rwth-aachen.de: <http://aib.informatik.rwth-aachen.de/> Fast Estimates of Greeks from American Options: A Case Study in Adjoint Algorithmic Differentiation Jens Deussen, Viktor Mosenkis, and Uwe Naumann AIB 2018-02 In this article algorithmic differentiation is applied to compute the sensitivities of the price of an American option, which is computed by the Longstaff-Schwartz algorithm. Adjoint algorithmic differentiation methods speed up the calculation and make the results more accurate and robust compared to a finite difference approximation. However, adjoint computations require more memory due to the storing of intermediate results. One possibility to reduce these memory requirements is to use a technique called checkpointing: Instead of storing all intermediate results the required values are recomputed. Another possibility is to apply a pathwise adjoint approach, which results from an analysis of the Longstaff-Schwartz algorithm and the exploitation of its features. The presented approach is embarrassing parallel and yields the same results as the other adjoint methods, but it reduces the computational effort as well as the memory requirements of the computation to the level of a single pricing calculation.

6 Jahre, 3 Monate

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

tr-announce Januar 2018