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Advanced Monte Carlo Methods for Barrier and Related Exotic Options · Study

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ChapterAdvanced Monte Carlo Methods for Barrier and Related Exotic Options

Emmanuel Gobet A2009

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Chaptergreen2009

Advanced Monte Carlo Methods for Barrier and Related Exotic Options

Emmanuel Gobet A

37 citations·0/0 files stored·Handbook of numerical analysis

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

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References

1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1999Continuous Martingales and Brownian Motion 1996The law of the Euler scheme for stochastic differential equations 1997A Continuity Correction for Discrete Barrier Options 1999Connecting discrete and continuous path-dependent options 1995On Pricing Barrier Options

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Details

Year2009

Typechapter

Published2009-01-01

VenueHandbook of numerical analysis

ISSN-L1570-8659

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s1570-8659(08)00012-4

openalex_workW1524189088

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