LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES
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Publication:5696293
DOI10.1142/S0219024905003177zbMath1102.91046MaRDI QIDQ5696293
Sebastian E. Ferrando, A. J. Bernal
Publication date: 18 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
Cites Work
- Connecting discrete and continuous path-dependent options
- Fast accurate binomial pricing
- Monte Carlo methods for security pricing
- On the simulation of expectations of random variables depending on a stopping time
- Binomial models for option valuation - examining and improving convergence
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