  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.
