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Paper detail

Monte Carlo pathwise sensitivities for barrier options

The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions. Our main tool is to combine the one-step survival idea of Glasserman and Staum with the stable differentiation approach of Alm, Harrach, Harrach and Keller. As an application we use the derived results for a two-dimensional calibration of a CoCo-Bond, which we model with different types of discretely monitored barrier options.

preprint2019arXivOpen access
Thomas GerstnerBastian HarrachDaniel Roth
q-fin.CPmath.NA
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Thomas GerstnerBastian HarrachDaniel Roth

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