Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing

DOI10.1007/s10287-007-0065-9zbMath1182.60020OpenAlexW2149822267MaRDI QIDQ2655744

Martin Becker

Publication date: 26 January 2010

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-007-0065-9

zbMATH Keywords

importance samplingBrownian motionMonte Carlo simulationjump-diffusionsdouble barrier options

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps ⋮ Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes

Uses Software

• R

Cites Work

• Unnamed Item
• Estimating variance from high, low and closing prices
• Estimating correlation from high, low, opening and closing prices
• A Hausman test for Brownian motion
• Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous

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