Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals

Kensuke Ishitani

Papers from arXiv.org

Abstract: This paper presents a new methodology to compute first-order Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rules for Wiener path integrals between two curves that arise in the computation of first-order Greeks for barrier options. We also illustrate the effectiveness of our method through numerical examples.

Date: 2016-11, Revised 2016-12
New Economics Papers: this item is included in nep-cmp, nep-rmg and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1611.05194

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