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(s
1
/
2
1
s
1
/
2
2
We also consider a multi-asset option with payoff
g(s
1
,s
2
)
=
−
K)
for
the Black-Scholes model in dimension
d
=
2, strike
K
=
1 and maturity
T
=
1
.
0.
We calculate the Greeks Delta,
1
=
∂
s
1
, and Gamma,
Γ
11
=
∂
s
1
s
1
. The parameters
(K/
2
,
3
/
2
K)
2
are
showninFig.
11.2
. Again we find that computed prices and sensitivities converge
with the same rate.
are
σ
=
(
0
.
4
,
0
.
1
)
,
ρ
12
=
0
.
2. The convergence rates on
G
0
=
11.4 Further Reading
In this section, we closely followed Hilber et al. [83]. Analytic formulas for the
Greeks in diffusion type models and plain vanilla type contracts can be found in
Reiss and Wyst [140]. Automatic differentiation of a finite element code is used to
approximate Greeks in Achdou and Pironneau [1].
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