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

Kensuke Ishitani

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arXiv · 1611.05194

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

Kensuke Ishitani

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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.

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Kensuke Ishitani. 2016-12-21. Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals. https://arxiv.org/abs/1611.05194

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