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Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
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Emmanuel Gobet, Centre de Mathématiques Appliquées
Arturo Kohatsu-Higa, Universitat Pompeu Fabra
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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 diffusion. Numerical tests illustrate
the gain of accuracy compared to classical methods.
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Full text: PDF
Pages: 51 - 62
Published on: May 12, 2003
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Electronic Communications in Probability. ISSN: 1083-589X |
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