scientific article; zbMATH DE number 1390103

MaRDI QIDQ4934370zbMATH OpenFDO

Authors Paolo Baldi, Lucia Caramellino, Maria Gabriella Iovino

Publication date 14 June 2000

zbMATH Keywords

barrier optionsMonte Carlo proceduresharp large deviation estimates

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(5)

• Large deviations of conditioned diffusions and applications
• Pricing general barrier options: a numerical approach using sharp large deviations
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• A general approach for Parisian stopping times under Markov processes

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