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Tokyo Probability Seminar
Seminar information archive ～12/08｜Next seminar｜Future seminars 12/09～
| Date, time & place | Monday 16:00 - 17:30 126Room #126 (Graduate School of Math. Sci. Bldg.) |
|---|---|
| Organizer(s) | Makiko Sasada, Shuta Nakajima |
2017/06/19
16:00-17:30 Room #126 (Graduate School of Math. Sci. Bldg.)
Kensuke Ishitani (Graduate School of Science and Engineering, Tokyo Metropolitan University)
Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (JAPANESE)
Kensuke Ishitani (Graduate School of Science and Engineering, Tokyo Metropolitan University)
Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (JAPANESE)
[ Abstract ]
In this presentation, we present 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.
In this presentation, we present 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.
