Lecture 2021 Numerical Methods: 40: Partial Derivatives of Monte-Carlo Valuations (2)
Channel: finmath
Date: 22/07/2021

Lecture Computational Finance / Numerical Methods 40: Partial Derivatives of Monte-Carlo Valuations (2): Pathwise finite difference applied to Monte-Carlo approximations: Numerical Experiment

The second of three sessions on the numerical approximation of partial derivatives of Monte-Carlo valuations.
- Path-wise finite difference
- Numerical experiment: dependency of the approximation error on the shift size h.
- - Expectations of smooth and discontinuous functions.