|First Version of the Generic Malliavin Weightings for Greeks in MC and AMC by Pricing Partners - Mar 2011|
Pricing Partners, the world leading OTC derivatives pricing analytics, mathematical models and independent valuation provider, announced today to provide a first version of the generic Malliavin Weightings for Greeks in Monte Carlo and American Monte Carlo.
Pricing Partners is the first company to provide a generic Malliavin weighting for Greeks in Monte Carlo and American Monte Carlo. This should allow its clients to use less simulation paths to compute accurate and smooth Greeks in Monte Carlo and American Monte Carlo for discontinuous payoff. This first version is applicable for single and multi asset Black Scholes and Dupire models. In addition, Pricing Partners has enhanced the detection of the best regression variable in American Monte Carlo to provide smoother Greeks.
Eric Benhamou, CEO of Pricing Partners and a former Goldman Sachs employee commented: “Only accurate valuation is not enough for our clients as they also need smooth Greeks. We spent substantial time and efforts with them to provide them with a very accurate platform for Greeks leveraging our experience on cutting edge methods such as Malliavin weightings. This should reinforce our leading position as an active innovator in the field of quantitative research.”
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