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Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
2.	Creator	Author's name, affiliation, country	Emmanuel Gobet; Centre de Mathématiques Appliquées
2.	Creator	Author's name, affiliation, country	Arturo Kohatsu-Higa; Universitat Pompeu Fabra
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Barrier and lookback options. Option sensitivities. Malliavin calculus.
3.	Subject	Subject classification	60H07, 60J60, 65C05
4.	Description	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.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	BFM
7.	Date	(YYYY-MM-DD)	2003-05-12
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1069
10.	Identifier	Digital Object Identifier	10.1214/ECP.v8-1069
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 8
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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