Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus

By Emmanuel Gobet, A. Kohatsu-Higa. 2003

56 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/b1c18efc1e5710e142aaf440fc7e131aa2e870b6

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In Economics and Econometrics

1. Paul Glasserman
2. Nan Chen
3. Eric Benhamou
4. Ilya M. Sobol
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In Mathematical Physics

1. Paul Glasserman
2. Nan Chen
3. Eric Benhamou

Citations in the corpus

• Optimal Malliavin Weighting Function for the Computation of the Greeks (2003, methodology): “Formulae for Malliavin weight can be found in Fournié et al. (1999) or Benhamou (2000b) and are summarized for the European option in table 2.”
• Malliavin Greeks without Malliavin calculus (2007, background): “[8], Gobet and Kohatsu-Higa [10], Kohatsu-Higa and Montero [12], and many others.”