Simulation-based valuation of exodic options

MaRDI QIDQ2960759zbMATH OpenFDO

Authors Thorsten Poddig, Annette Illgen

Publication date 17 February 2017

zbMATH Keywords

exotic optionsMonte Carlo simulationvaluation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Advanced Monte Carlo Methods for Barrier and Related Exotic Options
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Cited in

(6)

• Algorithm of calculation of combined commodity options value
• Pricing of path-dependent European-type options using Monte Carlo simulation
• Monte Carlo method for value of exotic options in the diffusion model with jumps
• Advanced Monte Carlo Methods for Barrier and Related Exotic Options
• scientific article; zbMATH DE number 1222808 (Why is no real title available?)
• Evaluating volatility forecasts in option pricing in the context of a simulated options market

Describes a project that uses

Uses Software

• Matlab

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