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

[<fho...@gm...>]

Hi Simon,
yes, I know there are many papers (e.g. one can find lots of references and a comprehensive treatment in Glasserman's book on MC methods). What I meant was how and where to implement such a thing within the QuantLib framework. Is there any canonical place within the QuantLib code to start from?

Rgds Frank

-------- Original-Nachricht --------
> Datum: Tue, 27 Nov 2007 13:40:33 +0000
> Von: "Simon Ibbotson" <s.i...@gm...>
> An: "Frank Hövermann" <fho...@gm...>
> CC: qua...@li...
> Betreff: Re: [Quantlib-dev] Partial greeks calculation for MonteCarloed basket options

> 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 Hövermann" <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
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