scientific article; zbMATH DE number 1990819

zbMATH Open1028.60051MaRDI QIDQ4430992FDOQ4430992

Authors: Wai-Ki Ching 

Publication date: 13 October 2003

Title of this publication is not available (Why is that?)

Recommendations

• Correcting the Bias in Monte Carlo Estimators of American-style Option Values
• Bias reduction for pricing American options by least-squares Monte Carlo
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
• 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

zbMATH Keywords

Monte Carlo simulationBrownian bridgeoption valuation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (1)

• 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

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