ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS

DOI10.1111/J.0960-1627.2005.00222.XzbMATH Open1153.91511OpenAlexW3121359874MaRDI QIDQ3370591FDOQ3370591

Authors: Per Hörfelt 

Publication date: 8 February 2006

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00222.x

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Title not available (Why is that?)
• Monte Carlo methods for security pricing
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Monte Carlo valuation of American options
• Extremal properties of Rademacher functions with applications to the Khintchine and Rosenthal inequalities
• Stochastic ordering and dependence in applied probability
• Geometric bounds on certain sublinear functionals of geometric Brownian motion

Cited In (7)

• Amostragem descritiva no apreçamento de opções européias através de simulação Monte Carlo: o efeito da dimensionalidade e da probabilidade de exercício no ganho de precisão
• Comment on ‘Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes’ by C. Ribeiro and N. Webber
• Monte Carlo simulation of stochastic integrals when the cost of function evaluation is dimension dependent
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
• On the error of the Monte Carlo pricing method
• Geometric bounds on certain sublinear functionals of geometric Brownian motion

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