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krs
Topic Author
Posts: 38
Joined: August 20th, 2019, 12:40 pm

Re: Lewis Formula

July 15th, 2021, 8:19 am

QE doesn't seem to be a nice scheme to calculate greeks using AAD.

Glasserman 2004 page 397 allows one to differentiate SDE to get SDE for greeks. (Kunita).

and Lykke Rasmussan'S PhD thesis discusses this as well, including AD and Complex Step Method.
Yes, I read that QE is not a nice scheme for AAD in an article by Chan and Joshi. I go through the other references. Thank you.