Second order sensitivities in linear or constant time

We analyse and compare methods to compute the full set of second order sensitivities of a Monte Carlo price in a time which is at most O(NT) where N is the number of inputs and T is the time required to compute the price. The... [ view full abstract ]

We analyse and compare methods to compute the full set of second order sensitivities of a Monte Carlo price in a time which is at most O(NT) where N is the number of inputs and T is the time required to compute the price. The new ones include an algorithm which achieves a complexity O(T), unlike the O(NT) attained by all recipes from previous literature.