Application of simplest random walk algorithms for pricing barrier options (Q2849683)
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scientific article; zbMATH DE number 6210938
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| English | Application of simplest random walk algorithms for pricing barrier options |
scientific article; zbMATH DE number 6210938 |
Statements
Application of simplest random walk algorithms for pricing barrier options (English)
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24 September 2013
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barrier options
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exotic derivatives
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weak approximation of stochastic differential equations in bounded domains
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Monte Carlo technique
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Dirichlet problem
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parabolic partial differential equations
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interest rate derivatives
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0.7895666360855103
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0.7781197428703308
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0.7779930233955383
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0.7705370187759399
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