Advanced Monte Carlo Methods for Barrier and Related Exotic Options

DOI10.1016/S1570-8659(08)00012-4MaRDI QIDQ3631195zbMATH OpenOpenAlexFDO

Authors Emmanuel Gobet

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00012-4

zbMATH Keywords

barrier optionbarrier shifting technique (BAST)BLAC down outdown out callMonte Carlo methodup and out put option (UOP)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(22)

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• Using forward Monte-Carlo simulation for the valuation of American barrier options
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• Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
• On the pricing of exotic options: a new closed-form valuation approach
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
• Stopped diffusion processes: boundary corrections and overshoot
• Pricing of path-dependent European-type options using Monte Carlo simulation
• Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation
• Simulation-based valuation of exodic options
• Closed-form pricing of two-asset barrier options with stochastic covariance
• scientific article; zbMATH DE number 6150131 (Why is no real title available?)
• Monte Carlo method for pricing some path dependent options
• Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
• JDOI variance reduction method and the pricing of American-style options
• Collocating volatility: a competitive alternative to stochastic local volatility models
• Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
• Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
• The bilateral Gamma motion: calibration and option pricing
• Importance sampling for rare event tracking within the ensemble Kalman filtering framework
• Barrier option pricing and hedging model under stochastic conditions
• Heuristics for the probabilistic solution of BVPs with mixed boundary conditions

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