Translator Disclaimer
2003 Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
Emmanuel Gobet, Arturo Kohatsu-Higa
Author Affiliations +
Electron. Commun. Probab. 8: 51-62 (2003). DOI: 10.1214/ECP.v8-1069

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.

Citation

Download Citation

Emmanuel Gobet. Arturo Kohatsu-Higa. "Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus." Electron. Commun. Probab. 8 51 - 62, 2003. https://doi.org/10.1214/ECP.v8-1069

Information

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

zbMATH: 1061.60054
MathSciNet: MR1987094
Digital Object Identifier: 10.1214/ECP.v8-1069

Subjects:
Primary: 60H07
Secondary: 60J60, 65C05

JOURNAL ARTICLE
12 PAGES


SHARE
Back to Top