Efficient simulation for discrete path-dependent option pricing

Document Type

Conference Proceeding

Publication Date

12-1-2001

Abstract

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.

Identifier

0035691163 (Scopus)

Publication Title

Winter Simulation Conference Proceedings

ISSN

02750708

First Page

325

Last Page

328

Volume

1

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