Asymptotic properties of Monte Carlo estimators of derivatives

• 成果类型: Article
• 署名作者: Detemple, J; Garcia, R; Rindisbacher, M
• 署名单位: Boston University; Universite de Montreal; Universite de Montreal
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1050.0398
• 发表日期: 2005
• 页码: 1657-1675
• 关键词: simulation; derivative estimation; Malliavin path; Malliavin weight; covariation; finite difference; likelihood ratio; Weak Convergence

摘要

We study the convergence of Monte Carlo estimators of derivatives when the transition density of the underlying state variables is unknown. Three types of estimators are compared. These are respectively based on Malliavin derivatives, on the covariation with the driving Wiener process, and on finite difference approximations of the derivative. We analyze two different estimators based on Malliavin derivatives. The first one, the Malliavin path estimator, extends the path derivative estimator of Broadie and Glasserman (1996) to general diffusion models. The second, the Malliavin weight estimator, proposed by Fournie et al. (1999), is based on an integration by parts argument and generalizes the likelihood ratio derivative estimator. It is shown that for discontinuous payoff functions, only the estimators based on Malliavin derivatives attain the optimal convergence rate for Monte Carlo schemes. Estimators based on the covariation or on finite difference approximations are found to converge at slower rates. Their asymptotic distributions are shown to depend on additional second-order biases even for smooth payoff functions.