Monte Carlo method for pricing some path dependent options

MaRDI QIDQ4918639zbMATH OpenFDO

Authors Chuma Raphael Nwozo, Sunday Emmanuel Fadugba

Publication date 25 April 2013

zbMATH Keywords

American optionAsian optionEuropean optionlookback optionMonte Carlo simulation method

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(14)

• Pricing of path-dependent American options by Monte Carlo simulation
• Pricing algorithms of multivariate path dependent options
• Combined ZK-mzk equation for Rossby solitary waves with complete Coriolis force and its conservation laws as well as exact solutions
• Path integral Monte Carlo method for option pricing
• Monte Carlo methods for security pricing
• Pricing of path-dependent European-type options using Monte Carlo simulation
• Simulation-based valuation of exodic options
• scientific article; zbMATH DE number 2134655 (Why is no real title available?)
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• Numerical methods used in assessing options
• Advanced Monte Carlo Methods for Barrier and Related Exotic Options
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Monte-Carlo method for option pricing in sub-diffusive arithmetic models
• LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES

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