Pricing of barrier options by marginal functional quantization

DOI10.1515/mcma.2011.015zbMath1235.91165arXiv1012.1037OpenAlexW2138017788MaRDI QIDQ5388198

Abass Sagna

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

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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Cites Work

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• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

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