Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process

DOI10.1137/130923221zbMath1308.91168OpenAlexW2089969954MaRDI QIDQ2940772

Juan Miguel A. Montes, Wolfgang J. Runggaldier, Valentina Prezioso

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/aed72160961ad6e5c09821deee2bed75a92c8b9d

zbMATH Keywords

Monte Carlo simulationcontinuous-time Markov chainsderivative pricingpath dependent derivativesvariance reduction by conditioning

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

This page was built for publication: Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process