Power plant Greeks
Erjiang Sun and Ongun Alsac derive a Monte Carlo estimator for calculating the Greeks of a power plant based on the pathwise derivative estimates and the likelihood ratio derivative estimates.
In the risk management world, a Greek measures the sensitivity of the value of an asset or a portfolio of assets to a small change in a given underlying parameter (e.g. price, volatility, time-to-expiration). In this paper, we will focus on the Greeks of a power plant. As we know, the computing of Greeks is
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