A backward Monte Carlo approach to exotic option pricing
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Publication:4575277
DOI10.1017/S0956792517000079zbMath1401.91552arXiv1511.00848OpenAlexW3123191024MaRDI QIDQ4575277
Giorgia Callegaro, Andrea Pallavicini, Giulia Livieri, Giacomo Bormetti
Publication date: 13 July 2018
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.00848
exotic option pricingbackward Monte Carlodiscrete multinomial treerecursive marginal quantization algorithm
Computational methods in Markov chains (60J22) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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