Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options

DOI10.1111/1467-9965.00008zbMath1049.91063OpenAlexW2099081724MaRDI QIDQ4409040

Emmanuel Gobet, Guillaume Bernis, Arturo Kohatsu-Higa

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00008

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (19)

Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods ⋮ A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility ⋮ Sequential Monte Carlo Methods for Option Pricing ⋮ Optimal search for parameters in Monte Carlo simulation for derivative pricing ⋮ Importance Sampling for Option Greeks with Discontinuous Payoffs ⋮ Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift ⋮ An integration by parts type formula for stopping times and its application ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations ⋮ Integration by parts formula for killed processes: a point of view from approximation theory ⋮ Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives ⋮ Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations ⋮ Analytical pricing of single barrier options under local volatility models ⋮ On density functions related to discrete time maximum of some one-dimensional diffusion processes ⋮ Derman and Taleb's ‘The illusions of dynamic replication’: a comment ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
• Some Guidelines and Guarantees for Common Random Numbers
• On the Convergence Rates of IPA and FDC Derivative Estimators
• Estimating Security Price Derivatives Using Simulation
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• Hedging lookback and partial lookback options using Malliavin calculus

This page was built for publication: Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options