Going to extremes: Correcting simulation bias in exotic option valuation

Financial Analysts Journal

Volumn 53, Issue 1, 1997, Pages 62-68

  Beaglehole, David R ^a   Dybvig, Philip H ^b   Zhou, Guofu ^b  

^a Goldman Sachs Group   (United States)

^b WASHINGTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002634641     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v53.n1.2057     Document Type: Article

References (8)

1. Broadie, M., P. Glasserman, and S. Kou. 1996. "Connecting Discrete and Continuous Path-Dependent Options." Mimeo, Columbia University.
2. Campbell, J.Y., A.W. Lo, and A.C. MacKinlay. Forthcoming, 1997. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.
3. Carr, P., K. Ellis, and V. Gupta. Forthcoming. "Static Hedging of Exotic Options." Mimeo, Morgan Stanley.
4. Cox, J., and M. Rubinstein. 1985. Options Markets. Englewood Cliffs, NJ: Prentice Hall.
5. Goldman, M.B., H. Sosin, and L. Shepp. 1979. "On Contingent Claims That Insure Ex Post Optimal Stock Market Timing." Journal of Finance, vol. 34, no. 2 (May):401-14.
6. Hobson, D.G. 1995. "Bounds on the Lookback." Mimeo, University of Bath.
7. Karatzas, I., and S.E. Shreve. 1988. Brownian Motion and Stochastic Calculus. Berlin: Springer.
8. Rogers, L.C.G., and S.E. Satchell. 1991. "Estimating Variance from High, Low, and Closing Prices." Annals of Applied Probability, vol. 1, no. 4 (November):504-12.