# Monte Carlo pathwise sensitivities for barrier options

Source: [Monte Carlo pathwise sensitivities for barrier options](<https://www.sota2.com/research/paper/68fa57e11e209131ce9a9507>)

Collection index: [llms.txt](<https://www.sota2.com/research/llms.txt>)

Data updated: 2026-06-05T05:01:36.957Z

Authors: Thomas Gerstner, Bastian Harrach, Daniel Roth

Published: 2018-04-11T13:31:13.000Z

## Abstract

The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions. Our main tool is to combine the one-step survival idea of Glasserman and Staum with the stable differentiation approach of Alm, Harrach, Harrach and Keller. As an application we use the derived results for a two-dimensional calibration of a CoCo-Bond, which we model with different types of discretely monitored barrier options.

## Recorded benchmark results

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## Original sources and implementation

[Original paper](<https://arxiv.org/abs/1804.03975>)

[PDF](<https://arxiv.org/pdf/1804.03975.pdf>)