EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS

DOI10.4134/CKMS.2008.23.2.285zbMath1168.91397MaRDI QIDQ3393931

Kyoung-Sook Moon

Publication date: 28 August 2009

Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodbarrier option pricingexit probability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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