Fast Greeks by simulation: The block adjoint method with memory reduction

作者：

Highlights：

• Propose the block simulation method which is an extension of the common Monte Carlo simulation.

• Can accelerate the adjoint method by several times.

• Simple to implement, without extra work and loss in accuracy.

• Memory reduction is conducted so that the block simulation can run with the adjoint method better.

摘要

•Propose the block simulation method which is an extension of the common Monte Carlo simulation.•Can accelerate the adjoint method by several times.•Simple to implement, without extra work and loss in accuracy.•Memory reduction is conducted so that the block simulation can run with the adjoint method better.

论文关键词：Monte Carlo,Block simulation,Sensitivity,Adjoint,Memory reduction

论文评审过程：Received 23 December 2013, Revised 15 May 2014, Available online 18 July 2014.

论文官网地址：https://doi.org/10.1016/j.cam.2014.07.005