The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions. Our main tool is to combine the one-step survival idea of Glasserman and Staum with the stable differentiation approach of Alm, Harrach, Harrach and Keller. As an application we use the derived results for a two-dimensional calibration of a CoCo-Bond, which we model with different types of discretely monitored barrier options.

中文翻译：

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障碍物选择的蒙特卡罗路径敏感性

蒙特卡洛路径敏感性方法已为平滑的收益函数建立了良好的基础。在这项工作中，我们提出了一种新的蒙特卡洛算法，该算法能够计算不连续收益函数的路径敏感性。我们的主要工具是将Glasserman和Staum的一步式生存理念与Alm，Harrach，Harrach和Keller的稳定分化方法相结合。作为应用程序，我们将派生的结果用于CoCo-Bond的二维校准，并使用不同类型的离散监控的障碍选项进行建模。