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Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals. (arXiv:1611.05194v1 [q-fin.MF])

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This paper presents a new methodology to compute first-order Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rules for Wiener path integrals between two curves that arise in the computation of first-order Greeks for barrier options. We also illustrate the effectiveness of our method through numerical examples.


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