Partial greeks calculation for MonteCarloed basket options
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Partial greeks calculation for MonteCarloed basket options
 
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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 für 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Partial greeks calculation for MonteCarloed basket options
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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" <[hidden email]> wrote:
Hi there! ------------------------------------------------------------------------- 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Partial greeks calculation for MonteCarloed basket options
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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" <[hidden email]> > An: "Frank Hövermann" <[hidden email]> > CC: [hidden email] > 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" <[hidden email]> 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 für 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 > > [hidden email] > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > -- GMX FreeMail: 1 GB Postfach, 5 E-Mail-Adressen, 10 Free SMS. Alle Infos und kostenlose Anmeldung: http://www.gmx.net/de/go/freemail ------------------------------------------------------------------------- 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Partial greeks calculation for MonteCarloed basket options
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In reply to this post by Frank Hövermann
On Tue, 2007-11-27 at 13:40 +0100, "Frank Hövermann" 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. You have to move the spot from outside the class. See for instance EuropeanOption::testGreeks() in test-suite/europeanoption.cpp; you can look at the part where the "expected" map is filled. This said, as Simon mentioned, you'll have to be careful of numerical artifacts in the results if you're using Monte Carlo. Luigi -- Harrison's Postulate: For every action, there is an equal and opposite criticism. ------------------------------------------------------------------------- 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 [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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