Tokyo Probability Seminar

Seminar information archive ~03/04Next seminarFuture seminars 03/05~

Date, time & place Monday 17:00 - 18:30 126Room #126 (Graduate School of Math. Sci. Bldg.)
Organizer(s) Hiroshi Kawabi, Shuta Nakajima, Makiko Sasada

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)
[ 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.