Application of simplest random walk algorithms for pricing barrier options

DOI10.1142/9789814436434_0011zbMath1275.91135arXiv1211.5726OpenAlexW3123137947MaRDI QIDQ2849683

M. Krivko, M. V. Tretyakov

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5726

zbMATH Keywords

Dirichlet problemparabolic partial differential equationsexotic derivativesbarrier optionsMonte Carlo techniqueinterest rate derivativesweak approximation of stochastic differential equations in bounded domains

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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