Digital barrier options pricing: an improved Monte Carlo algorithm
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Publication:2398005
DOI10.1007/s40096-016-0179-8zbMath1369.91193OpenAlexW2344001146WikidataQ59460718 ScholiaQ59460718MaRDI QIDQ2398005
Behzad Abbasi, Farahnaz Omidi, Kazem Nouri, Leila Torkzadeh
Publication date: 14 August 2017
Published in: Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40096-016-0179-8
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms ⋮ BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM
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