An Application of Malliavin Calculus to Continuous Time Asian Options Greeks

LSE Working Paper

19 Pages Posted: 11 May 2001  

Eric Benhamou

Université Paris Est - Université Paris Est-Creteil

Date Written: May 2000

Abstract

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

Benhamou, Eric, An Application of Malliavin Calculus to Continuous Time Asian Options Greeks (May 2000). LSE Working Paper. Available at SSRN: https://ssrn.com/abstract=265284 or http://dx.doi.org/10.2139/ssrn.265284

Eric Benhamou (Contact Author)

Université Paris Est - Université Paris Est-Creteil ( email )

61 avenue du Général de Gaulle
Créteil, 940000
France

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