LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES

DOI10.1142/S0219024905003177zbMath1102.91046OpenAlexW2003689225MaRDI QIDQ5696293

A. J. Bernal, Sebastian E. Ferrando

Publication date: 18 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003177

zbMATH Keywords

exotic optionsbinomial trees

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

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• Connecting discrete and continuous path-dependent options
• Fast accurate binomial pricing
• Monte Carlo methods for security pricing
• On the simulation of expectations of random variables depending on a stopping time
• Binomial models for option valuation - examining and improving convergence

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