Hi,Could you explain how to price greeks for basket european options using Monte carlo technique ? Thanks in advance.

There are several methods you can use here. If the payoff is continuous, as it seems from your post, you can use the pathwise method. When it works, pathwise method is usually the best approach. There are other methods like likelihood ratio method that you can use when the payoff is not continuous. You can learn about these methods from Glasserman's classic paper where he presents these methods in the context of LIBOR market model. There is another method that you can always use and can be found in my paper http://papers.ssrn.com/sol3/papers.cfm? ... id=1513226 . In case you have not thought about it that is you can always use finite differences by bumping all input starting values of assets in the basket by a few basis points and use forward differences to calculate the deltas. All of the methods I mentioned are good for deltas. When it comes to vegas you can easily use pathwise method and this is also shown in Glasserman's paper. For Gammas you can always use likelihood ratio method or a hybrid of pathwise and likelihood ratio method. Then there are Malliavin calculus methods which have a flavour of likelihood ratio methods. You can also use partial proxy methods to which Mark Joshi has contributed a lot and you can get some info on his website. Glasserman's paper can also be found on his web site.Ahsan

Look at:http://www.christian-fries.de/finmath/i ... blications

The brief presentation below illustrates the most simple (but only rough) approach to estimating Greeks for basket options by Mont Carlo. It is based on our valuation suite DEXISION and uses a rather stylized example.Greeks for Baskets with DEXISION