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Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus

   
@article{ECP1069,
	author = {Emmanuel Gobet and Arturo Kohatsu-Higa},
	title = {Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {8},
	year = {2003},
	keywords = {Barrier and lookback options. Option sensitivities. Malliavin calculus.},
	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.},
	pages = {no. 6, 51 - 62},
	issn = {1083-589X},
	doi = {10.1214/ECP.v8-1069},    
        url = {http://ecp.ejpecp.org/article/view/1069}}