Pricing exotic options using MSL-MC

DOI10.1080/14697680903426565zbMath1277.91191OpenAlexW2158635087MaRDI QIDQ2866370

Klaus Schmitz Abe

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903426565

zbMATH Keywords

Monte Carlo methodsstochastic modelsexotic optionsoptions pricingderivative pricing modelsnumerical methods for option pricingpricing of financial securities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

Uses Software

• Mathematica

Cites Work

• Unnamed Item
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Multilevel Monte Carlo Path Simulation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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