7 Pages Posted: 28 May 2009
Date Written: May 28, 2009
This paper extends the pathwise adjoint method for Greeks to the displaced-diffusion LIBOR market model and also presents a simple way to improve the speed of the method. The speed improvements of approximately 20% are achieved without using any additional approximations to those of Giles and Glasserman.
Keywords: Pathwise adjoint method, LIBOR market model, delta, vega
JEL Classification: G13
Suggested Citation: Suggested Citation