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EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
11 references·0 citing·32 second hop
EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS (2008)EFFICIENT MONTE CARLO ALGORITHM FOR PRICI…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Adaptive Monte Carlo Algorithms for Stopped Diffusion (2005)Adaptive Monte Carlo Algorith…Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options (2002)Using Brownian Bridge for Fas…Weak approximation of killed diffusion using Euler schemes (2000)Weak approximation of killed …Absorbing boundaries and optimal stopping in a stochastic differential equation (1999)Absorbing boundaries and opti…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …The Mathematics of Financial Derivatives (1995)The Mathematics of Financial …Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option pricing when underlying stock returns are discontinuous (1976)Continuous Martingales and Brownian Motion (1999)Fast and accurate pricing of barrier options under Lévy processes (2009)Pricing double-barrier options under a flexible jump diffusion model (2009)Risk Estimation via Regression (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Gentle Introduction to the Integration of Stochastic Differential Equations (2007)First exit time probability for multidimensional diffusions: A PDE-based approach (2007)Mean Exit Times and the Multilevel Monte Carlo Method (2013)Numerical solution of stochastic differential equations (2016)Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)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)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Interest‐Rate Modelling (2014)Survival Analysis Methods for Personal Loan Data (2002)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)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)PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)Connecting discrete and continuous path-dependent options (1999)PDE methods for pricing barrier options (2000)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 1997The Complete Guide to Option Pricing Formulas529 cited
  • 1992Pricing Options With Curved Boundaries 1268 cited
  • 2000Weak approximation of killed diffusion using Euler schemes188 cited
  • 2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options106 cited
  • 1999Absorbing boundaries and optimal stopping in a stochastic differential equation58 cited
  • 2005Adaptive Monte Carlo Algorithms for Stopped Diffusion23 cited

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