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.
"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