Greeks By Finite Difference on structured products

keribou · June 21st, 2005, 2:56 pm

Hi,I work on structured products and the agreek's estimations re performed by finite difference and QMC.However, we are faced to evaluate the efficient shift to achieve convergence and financial meaning of greeks.Indeed, a shift too low can be explain by the imprecision of the price and if it is too high the derivative include the gamma effect.My question is someone says how to evaluate the lowest shift so that it keeps financial meaning ?Thanks.

silvione · June 23rd, 2005, 7:50 am

Try to fit ds