Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier (Q2786033)
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scientific article; zbMATH DE number 5786208
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier |
scientific article; zbMATH DE number 5786208 |
Statements
16 September 2010
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first-hitting time
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passage times
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hitting-times
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barrier
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discretely-monitored
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inverse Gaussian
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stratified sampling
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Monte Carlo
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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier (English)
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