Pospisil, Libor; Vecer, Jan - In: Quantitative Finance 10 (2010) 6, pp. 617-627
In this article, we define new 'Greeks' for financial derivatives: sensitivities to the running maximum and the running maximum drawdown of an underlying asset. Some types of portfolios, such as the net asset value of a hedge fund or performance fees, are sensitive to these parameters. In order...