Using computational methodology to price European options with actual payoff distributions

DOI10.1007/s00500-007-0154-2zbMath1147.91031OpenAlexW1969459650MaRDI QIDQ2466715

Hsiao-Ya Chiu, Chieh-Chung Sheng, An-Pin Chen

Publication date: 16 January 2008

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-007-0154-2

zbMATH Keywords

option pricingexpected valueactual payoff distribution

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• The Variance Gamma Process and Option Pricing

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