Re: Partial greeks calculation for MonteCarloed basket options

Posted by Simon Ibbotson on
URL: http://quantlib.414.s1.nabble.com/Partial-greeks-calculation-for-MonteCarloed-basket-options-tp11436p11438.html

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
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