scientific article; zbMATH DE number 6150131

MaRDI QIDQ4912347zbMATH OpenFDO

Authors Natalia C. Roşca, Alin V. Roşca

Publication date 3 April 2013

zbMATH Keywords

barrier optionsMonte Carlo integrationnormal inverse Gaussian distributionnumerical resultsoption pricingsequences with low \(G\)-discrepancy

Mathematics Subject Classification ID

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

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Cited in

(6)

• An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
• Using forward Monte-Carlo simulation for the valuation of American barrier options
• Applications of simulation methods to barrier options driven by Lévy processes
• A mixed Monte Carlo and quasi-Monte Carlo method with applications to mathematical finance
• EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
• A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing

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