PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS

DOI10.1142/S0219024911006334zbMath1214.91132MaRDI QIDQ3005957

Mark S. Joshi, Christian Fries

Publication date: 10 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationvariance reductionpricingGreekstarget redemption notetrigger productauto-callable

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Pricing autocallables under local-stochastic volatility ⋮ Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing ⋮ Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge ⋮ Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations ⋮ CONDITIONAL MONTE CARLO SCHEME FOR STABLE GREEKS OF WORST-OF AUTOCALLABLE NOTES ⋮ A simple and efficient numerical method for pricing discretely monitored early-exercise options

Cites Work

• Unnamed Item
• Generic market models
• Monte Carlo methods for security pricing
• Conditioning on One-Step Survival for Barrier Option Simulations
• Estimating Security Price Derivatives Using Simulation

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