Electronic Communications in Probability

Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus

Emmanuel Gobet and Arturo Kohatsu-Higa

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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.

Article information

Electron. Commun. Probab., Volume 8 (2003), paper no. 6, 51-62.

Accepted: 12 May 2003
First available in Project Euclid: 18 May 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus
Secondary: 60J60: Diffusion processes [See also 58J65] 65C05: Monte Carlo methods

Barrier and lookback options. Option sensitivities. Malliavin calculus

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Gobet, Emmanuel; Kohatsu-Higa, Arturo. Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus. Electron. Commun. Probab. 8 (2003), paper no. 6, 51--62. doi:10.1214/ECP.v8-1069. https://projecteuclid.org/euclid.ecp/1463608890

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