Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities

DOI10.3233/RDA-2012-0077zbMath1263.91051MaRDI QIDQ4921219

Hon-Kwok Fung, Wei Zhou, Leong-Kwan Li, Siu Pang Yung

Publication date: 23 May 2013

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0077

zbMATH Keywords

numerical method; curse of dimensionality; barrier options; discretely monitored derivatives

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

Uses Software

• TOMS659