Pricing of barrier options by marginal functional quantization
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Publication:5388198
DOI10.1515/mcma.2011.015zbMath1235.91165arXiv1012.1037OpenAlexW2138017788MaRDI QIDQ5388198
Publication date: 18 April 2012
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.1037
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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