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

DOI10.1142/S0219024905003177zbMATH Open1102.91046OpenAlexW2003689225MaRDI QIDQ5696293FDOQ5696293

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

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zbMATH Keywords

binomial treesexotic options

Mathematics Subject Classification ID

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

Cites Work

• Monte Carlo methods for security pricing
• Title not available (Why is that?)
• Binomial models for option valuation - examining and improving convergence
• Connecting discrete and continuous path-dependent options
• Fast accurate binomial pricing
• Title not available (Why is that?)
• 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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