ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
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Publication:3370591
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Cites work
- scientific article; zbMATH DE number 741240 (Why is no real title available?)
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Extremal properties of Rademacher functions with applications to the Khintchine and Rosenthal inequalities
- Geometric bounds on certain sublinear functionals of geometric Brownian motion
- Monte Carlo methods for security pricing
- Monte Carlo valuation of American options
- Stochastic ordering and dependence in applied probability
Cited in
(7)- On the error of the Monte Carlo pricing method
- Geometric bounds on certain sublinear functionals of geometric Brownian motion
- 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
- Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
- 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
- RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
- Monte Carlo simulation of stochastic integrals when the cost of function evaluation is dimension dependent
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