Article2008

EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS

21 citations0/0 files storedCommunications of the Korean Mathematical Society

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

A new Monte Carlo method is presented to compute the prices of barrier options on stocks. The key idea of the new method is to use an exit probability and uniformly distributed random numbers in order to efficiently estimate the first hitting time of barriers. It is numerically shown that the first hitting time error of the new Monte Carlo method decreases much faster than that of standard Monte Carlo methods.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 21 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1995The Mathematics of Financial Derivatives 1997The Complete Guide to Option Pricing Formulas 1992Pricing Options With Curved Boundaries 1 2000Weak approximation of killed diffusion using Euler schemes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.