Adaptive (quasi-)Monte Carlo methods for pricing path-dependent options

DOI10.1007/978-3-642-04107-5_34MaRDI QIDQ3405464zbMATH OpenOpenAlexFDO

Authors R. Makarov

Publication date 15 February 2010

Published in Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04107-5_34

zbMATH Keywords

asset pricingCEVconstant elasticity of variancevariance gammaVG

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(12)

• Adaptive placement method on pricing arithmetic average options
• Path integral Monte Carlo method for option pricing
• An adaptive averaging binomial method for option valuation
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
• An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
• Path integral pricing of Asian options on state-dependent volatility models
• An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
• scientific article; zbMATH DE number 6150131 (Why is no real title available?)
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I
• AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II

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