Unbiased Monte Carlo Greeks for Discontinuous Payoffs

By Evgeny Lakshtanov

Published 2026-09-05

Everscope rating

2005

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Boundary Correction Formula for Monte Carlo Greeks. Problem types: Risk Management, Portfolio Optimization, Optimization.

arXiv:2609.06137 · Code · Paper rankings

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