LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES

DOI10.1142/S0219024905003177MaRDI QIDQ5696293zbMATH OpenOpenAlexFDO

Authors A. J. Bernal, Sebastian E. Ferrando

Publication date 18 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024905003177

zbMATH Keywords

binomial treesexotic options

Mathematics Subject Classification ID

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

Recommendations

• A backward Monte Carlo approach to exotic option pricing
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Cites work

• scientific article; zbMATH DE number 699438 (Why is no real title available?)
• scientific article; zbMATH DE number 1178976 (Why is no real title available?)
• Binomial models for option valuation - examining and improving convergence
• 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

Cited in

(3)

• Branching particle pricers with Heston examples
• A new sampling strategy willow tree method with application to path-dependent option pricing
• A backward Monte Carlo approach to exotic option pricing

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