On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo

DOI10.1016/j.mcm.2007.05.001zbMath1187.91214OpenAlexW1968611368MaRDI QIDQ2473285

Emmanuel Salta, Giray Ökten, Ahmet Göncü

Publication date: 26 February 2008

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2007.05.001

zbMATH Keywords

importance samplingconditional expectationquasi-Monte Carlobarrier options

Mathematics Subject Classification ID

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

Related Items (2)

Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ Importance Sampling for Backward SDEs

Uses Software

• Algorithm 823

Cites Work

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• Randomized quasi-Monte Carlo methods in pricing securities
• On the \(L_2\)-discrepancy for anchored boxes
• Monte Carlo methods for security pricing
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• A Continuity Correction for Discrete Barrier Options
• PRICING EXOTIC OPTIONS
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• A Simulated Annealing Algorithm with Constant Temperature for Discrete Stochastic Optimization
• Quasi-Monte Carlo Methods in Numerical Finance
• Pascal's Matrices
• Twisted GFSR generators II
• Algorithm 823

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