Advanced Monte Carlo Methods for Barrier and Related Exotic Options

DOI10.1016/S1570-8659(08)00012-4zbMath1180.91306OpenAlexW3123605087MaRDI QIDQ3631195

Emmanuel Gobet

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00012-4

zbMATH Keywords

Monte Carlo methodbarrier optionbarrier shifting technique (BAST)BLAC down outdown out callup and out put option (UOP)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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