An Application of Malliavin Calculus to Continuous Time Asian Options Greeks
LSE Working Paper
19 Pages Posted: 11 May 2001
Date Written: May 2000
Traditional methods for the computation of the Greeks with Monte Carlo simulations converge very slowly for strongly discontinuous payoff options. As a solution, Fournie et al. (1999) and Benhamou (2000) suggested the use of Malliavin weighted scheme especially for options depending on a finite set of dates. This paper extends their works to continuous time Asian options. We illustrate results for the case of the Black diffusion.
JEL Classification: G12, G13
Suggested Citation: Suggested Citation