{"id":"https://openalex.org/W4239942844","doi":"https://doi.org/10.1109/wsc.2004.1371506","title":"Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models","display_name":"Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models","publication_year":2005,"publication_date":"2005-04-05","ids":{"openalex":"https://openalex.org/W4239942844","doi":"https://doi.org/10.1109/wsc.2004.1371506"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2004.1371506","doi":"https://doi.org/10.1109/wsc.2004.1371506","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2004.1371506","pdf_url":null,"source":{"id":"https://openalex.org/S4306421180","display_name":"Winter Simulation Conference","issn_l":"0891-7736","issn":["0891-7736"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":["norway-1"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","raw_type":"proceedings-article"},"volume":null,"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019425888","display_name":"Mark N. Broadie","orcid":"https://orcid.org/0009-0004-1050-6408","observed_orcids":["https://orcid.org/0009-0004-1050-6408"]},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"M. Broadie","raw_affiliation_strings":["Graduate School of Business, Columbia University, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Business, Columbia University, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035407587","display_name":"\u00d6zg\u00fcr Kaya","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"O. Kaya","raw_affiliation_strings":["Department of IE & OR, Columbia University, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of IE & OR, Columbia University, NY, USA","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I78577930"],"apc_list":null,"apc_paid":null,"fwci":8.1371,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.98159509,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"2","issue":null,"first_page":"535","last_page":"543"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/option-greeks","display_name":"option Greeks","score":0.9959999918937683},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.8109999895095825},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.8989999890327454},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"jump diffusion","score":0.925000011920929},{"id":"https://openalex.org/keywords/exact-simulation","display_name":"exact simulation","score":0.9789999723434448},{"id":"https://openalex.org/keywords/monte-carlo-estimation","display_name":"Monte Carlo estimation","score":0.49799999594688416},{"id":"https://openalex.org/keywords/likelihood-ratios","display_name":"likelihood ratios","score":0.828000009059906},{"id":"https://openalex.org/keywords/unbiased-estimators","display_name":"unbiased estimators","score":0.8159999847412109},{"id":"https://openalex.org/keywords/path-dependent-options","display_name":"path-dependent options","score":0.828000009059906},{"id":"https://openalex.org/keywords/lognormal-approximation","display_name":"lognormal approximation","score":0.4749999940395355}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7195499539375305},{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.6889556646347046},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.643539547920227},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6367138624191284},{"id":"https://openalex.org/C151620405","wikidata":"https://www.wikidata.org/wiki/Q826116","display_name":"Log-normal distribution","level":2,"score":0.4993445873260498},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4845846891403198},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.47509658336639404},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.4713786542415619},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4530276656150818},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.45028525590896606},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.4375927746295929},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4334118366241455},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4264160692691803},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.3736532926559448},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20539364218711853},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.18079873919487},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.08994671702384949},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2004.1371506","doi":"https://doi.org/10.1109/wsc.2004.1371506","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2004.1371506","pdf_url":null,"source":{"id":"https://openalex.org/S4306421180","display_name":"Winter Simulation Conference","issn_l":"0891-7736","issn":["0891-7736"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":["norway-1"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1602773783","https://openalex.org/W1991225757","https://openalex.org/W2064978316","https://openalex.org/W2122272911","https://openalex.org/W2129220488","https://openalex.org/W2151832703","https://openalex.org/W3121370489","https://openalex.org/W3121383094","https://openalex.org/W3123321876","https://openalex.org/W4243465933"],"related_works":["https://openalex.org/W7095636837","https://openalex.org/W2885141043","https://openalex.org/W1946935956","https://openalex.org/W1513575586","https://openalex.org/W7100270493","https://openalex.org/W2332936287","https://openalex.org/W2465624924","https://openalex.org/W2167129367","https://openalex.org/W2337951902","https://openalex.org/W4385195434"],"abstract_inverted_index":{"This":[0,92],"paper":[1],"derives":[2],"Monte":[3],"Carlo":[4],"simulation":[5,45,116],"estimators":[6,117],"to":[7,52,96,105],"compute":[8],"option":[9,57],"price":[10,30,58,81],"derivatives,":[11],"i.e.,":[12],"the":[13,29,43,67,71,76,79,102,106],"'Greeks,'":[14],"under":[15],"Heston's":[16],"stochastic":[17],"volatility":[18],"model":[19],"and":[20,31,37,49,73,118,124],"some":[21,122],"variants":[22],"of":[23,47,56,78,88,108],"it":[24,94],"which":[25],"include":[26],"jumps":[27],"in":[28,60],"variance":[32,72],"processes.":[33],"We":[34,114],"use":[35],"pathwise":[36],"likelihood":[38],"ratio":[39],"approaches":[40],"together":[41],"with":[42],"exact":[44],"method":[46],"Broadie":[48],"Kaya":[50],"(2004)":[51],"generate":[53],"unbiased":[54],"estimates":[55],"derivatives":[59],"these":[61],"models.":[62,113],"By":[63],"appropriately":[64],"conditioning":[65],"on":[66],"path":[68],"generated":[69],"by":[70],"jump":[74],"processes,":[75],"evolution":[77],"stock":[80],"can":[82],"be":[83],"represented":[84],"as":[85],"a":[86],"series":[87],"lognormal":[89],"random":[90],"variables.":[91],"makes":[93],"possible":[95],"extend":[97],"previously":[98],"known":[99],"results":[100,120],"from":[101],"Black-Scholes":[103],"setting":[104],"computation":[107],"Greeks":[109],"for":[110,121],"more":[111],"complex":[112],"give":[115],"numerical":[119],"path-dependent":[123],"path-independent":[125],"options.":[126]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2022-05-12T00:00:00"}
