On the error of the Monte Carlo pricing method

MaRDI QIDQ3607204zbMATH OpenFDO

Authors Oleg Seleznev, Konrad Abramowicz

Publication date 28 February 2009

zbMATH Keywords

Asian optionLévy processesMonte Carlo pricing method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• Error bounds for small jumps of Lévy processes
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options
• Multilevel Monte Carlo for exponential Lévy models
• A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing

Cited in

(4)

• Spline approximation of a random process with singularity
• Error bounds for small jumps of Lévy processes
• Multilevel Monte Carlo for exponential Lévy models
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS

This page was built for publication: On the error of the Monte Carlo pricing method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3607204)