Lecture 2021 Numerical Methods: 39: Partial Derivatives of Monte-Carlo Valuations (1)
Channel: finmath
Date: 2021-07-22

Lecture Computational Finance / Numerical Methods 39: Partial Derivatives of Monte-Carlo Valuations (1): Pathwise finite difference applied to Monte-Carlo approximations of expectation of smooth and discontinuous functions.

The first of three sessions on the numerical approximation of partial derivatives of Monte-Carlo valuations.

- Path-wise finite difference
- Expectations of smooth and discontinuous functions.