A backward Monte Carlo approach to exotic option pricing
From MaRDI portal
Publication:4575277
DOI10.1017/S0956792517000079zbMath1401.91552arXiv1511.00848MaRDI QIDQ4575277
Giorgia Callegaro, Andrea Pallavicini, Giulia Livieri, Giacomo Bormetti
Publication date: 13 July 2018
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.00848
exotic option pricing; backward Monte Carlo; discrete multinomial tree; recursive marginal quantization algorithm
60J22: Computational methods in Markov chains
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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