We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ratio Method in Monte Carlo. We show how Antithetic Variables solve the well-known problem of the divergence of the variance of Delta for short maturities and small volatilities. With numerical examples within a Gaussian...

Although many methods for computing the Greeks of discrete-time Asian options are proposed, few to calculate continuous-time known. In this paper, we develop an integration by parts formula in multi-dimensional Malliavin calculus, and apply it obtain formulae multi-asset situation. We combine method with quasi-Monte Carlo simulation. discuss asymptotic convergence simulation estimates option ob...