scientific article; zbMATH DE number 1990819

MaRDI QIDQ4430992zbMATH OpenFDO

Authors Wai-Ki Ching

Publication date 13 October 2003

zbMATH Keywords

Brownian bridgeMonte Carlo simulationoption valuation

Mathematics Subject Classification ID

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

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

Cited in

(2)

• 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
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

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