Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options |
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Authors: | Guillaume BernisEmmanuel GobetArturo Kohatsu-Higa |
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Affiliation: | CAI-Fixed Income, Banque CPR, Paris; Centre de Mathématiques Appliquées, Ecole Polytechnique, Palaiseau; Department of Economics and Business, Universitat Pompeu Fabra, Barcelona |
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Abstract: | In this paper, we consider the problem of the numerical computation of Greeks for a multidimensional barrier and lookback style options: the payoff function depends in a rather general way on the minima and maxima of the coordinates of the d -dimensional underlying asset process. Using Malliavin calculus techniques, we derive additional weights that enable computation of the Greeks using Monte Carlo simulations. Numerical experiments confirm the efficiency of the method. This work is a multidimensional extension of previous results (see Gobet and Kohatsu-Higa 2001 ). |
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Keywords: | barrier and lookback options option sensitivities Malliavin calculus |
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