Computation of greeks for barrier and look-back options using malliavin calculus

Emmanuel Gobet; Arturo Kohatsu-Higa

doi:10.1214/ECP.v8-1069

Computation of greeks for barrier and look-back options using malliavin calculus

Emmanuel Gobet
, Arturo Kohatsu-Higa

Universitat Pompeu Fabra

Research output: Contribution to journal › Article › peer-review

Abstract

In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional disusion. Numerical tests illustrate the gain of accuracy compared to classical methods.

Original language	English
Pages (from-to)	51-62
Number of pages	12
Journal	Electronic Communications in Probability
Volume	8
DOIs	https://doi.org/10.1214/ECP.v8-1069
Publication status	Published - 1 Jan 2003

Keywords

Barrier and lookback options
Malliavin calculus
Option sensitivities

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10.1214/ECP.v8-1069

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abstract = "In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional disusion. Numerical tests illustrate the gain of accuracy compared to classical methods.",

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AU - Kohatsu-Higa, Arturo

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N2 - In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional disusion. Numerical tests illustrate the gain of accuracy compared to classical methods.

AB - In this article, we consider the numerical computations associated to the Greeks of barrier and lookback options, using Malliavin calculus. For this, we derive some integration by parts formulae involving the maximum and minimum of a one dimensional disusion. Numerical tests illustrate the gain of accuracy compared to classical methods.

KW - Barrier and lookback options

KW - Malliavin calculus

KW - Option sensitivities

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DO - 10.1214/ECP.v8-1069

M3 - Article

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SN - 1083-589X

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SP - 51

EP - 62

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

Computation of greeks for barrier and look-back options using malliavin calculus

Abstract

Keywords

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