Re: [Quantlib-dev] Partial greeks calculation for MonteCarloed basket options

[Simon I. <s.i...@gm...>]

Hi Frank,

Depends on the payoff. If you have to use Monte-Carlo, then the best way to
calculate Greeks is via pathwise or likelihood methods. There are plenty of
papers out there on this.

If the payoff is suitable, try using a single lognormal process and
moment-matching. This works extremely well for simple basket options.

Simon


On 11/27/07, "Frank H=F6vermann" <fho...@gm...> wrote:
>
> Hi there!
> What is the most general way to calculate (partial) greeks for a
> MultiAssetOption or a BasketOption? Does anyone ever had the chance to
> implement something like this? E.g., in the case of delta at least I am
> not able move the spot of the underlying StochasticProcess within the
> option's class. Any hints are more than welcome.
>
> Regards Frank
> --
> Der GMX SmartSurfer hilft bis zu 70% Ihrer Onlinekosten zu sparen!
> Ideal f=FCr Modem und ISDN: http://www.gmx.net/de/go/smartsurfer
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2005.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>