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Advanced Monte Carlo Methods for Barrier and Related Exotic Options
16 references·0 citing·32 second hop
Advanced Monte Carlo Methods for Barrier and Related Exotic Options (2009)Advanced Monte Carlo Methods for Barrier …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (2004)Exact approximation rate of k…Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)Euler schemes and half-space …Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Connecting discrete and continuous path-dependent options (1999)Connecting discrete and conti…An explicit finite difference approach to the pricing of barrier options (1998)An explicit finite difference…Fast accurate binomial pricing (1997)Fast accurate binomial pricingA Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…The law of the Euler scheme for stochastic differential equations (1996)The law of the Euler scheme f…Complex Barrier Options (1996)Complex Barrier OptionsOn Pricing Barrier Options (1995)On Pricing Barrier OptionsEnhanced Numerical Methods for Options with Barriers (1995)Enhanced Numerical Methods fo…Corrected diffusion approximations in certain random walk problems (1979)Corrected diffusion approxima…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (1998)PDE methods for pricing barrier options (2000)Some Limit Theorems in the Theory of Mass Service (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)Approximations for the probability of ruin within finite time (1984)Simulation of Ruin Probabilities for Subexponential Claims (1997)Ruin theory with compounding assets — a survey (1998)A symmetrized Euler scheme for an efficient approximation of reflected diffusions (2004)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Stochastic differential equations and applications (2008)Stochastic Differential Equations and Diffusion Processes (1983)The Euler scheme for Lévy driven stochastic differential equations (1997)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)On the discretization schemes for the CIR (and Bessel squared) processes (2005)The Malliavin Calculus and Related Topics (2006)Numerical solution of stochastic differential equations (2016)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Using Hull-White Interest Rate Trees (1996)Universal option valuation using quadrature methods (2003)Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Design of computer experiments: A review (2017)Option pricing: A simplified approach (1979)
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References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 1999Connecting discrete and continuous path-dependent options208 cited
  • 1995On Pricing Barrier Options201 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 1979Corrected diffusion approximations in certain random walk problems146 cited
  • 1996Complex Barrier Options116 cited
  • 2001Euler schemes and half-space approximation for the simulation of diffusion in a domain89 cited
  • 1998An explicit finite difference approach to the pricing of barrier options88 cited
  • 1995Enhanced Numerical Methods for Options with Barriers60 cited
  • 1997Fast accurate binomial pricing48 cited
  • 2004Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

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