A backward Monte Carlo approach to exotic option pricing

DOI10.1017/S0956792517000079zbMath1401.91552arXiv1511.00848MaRDI QIDQ4575277

Giorgia Callegaro, Andrea Pallavicini, Giulia Livieri, Giacomo Bormetti

Publication date: 13 July 2018

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.00848

zbMATH Keywords

exotic option pricing; backward Monte Carlo; discrete multinomial tree; recursive marginal quantization algorithm

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Recursive marginal quantization of higher-order schemes, Pricing via recursive quantization in stochastic volatility models

Uses Software

• Expokit
• pchip
• MATLAB expm
• Anderson

Cites Work

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