Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Mathematical Finance

Volumn 13, Issue 1, 2003, Pages 99-113

  Bernis, Guillaume ^a   Gobet, Emmanuel ^b   Kohatsu Higa, Arturo ^c  

^a Fixed Income Quant Research   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^c UNIVERSITAT POMPEU FABRA   (Spain)

Author keywords

Barrier and lookback options; Malliavin calculus; Option sensitivities

Indexed keywords

EID: 0141936529     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00008     Document Type: Conference Paper

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