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2001

Efficient simulation for discrete path-dependent option pricing

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Efficient simulation for discrete path-dependent option pricing
In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection with estimating the value of path-dependent options when prices are monitored at a discrete set of times. The expected running time of the algorithm is bounded above by a constant as the number of steps increases.
James M. Calvin
Added 31 Oct 2010
Updated 31 Oct 2010
Type Conference
Year 2001
Where WSC
Authors James M. Calvin
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