Monte Carlo applied to exotic digital options

Applied Mathematical Finance

Volumn 8, Issue 3, 2001, Pages 183-196

  Vaugirard, Victor E ^a  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Antithetic Technique; Change Of Numeraire; Control Variate Method; Jump DIFFUSION Process; Mean REVERTING Process

Indexed keywords

EID: 0012274935     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860110115194     Document Type: Article

References (9)

1. Boyle, P. P., Broadie, M., and Glasserman, R., 1997. Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control, 21 June: 1267–1321.
2. Boyle, P. P., and Lau, S. H., 1994. Bumping up against the barrier with the binomial method. Journal of Derivatives, 1: 6–14.
3. Broadie, M., and Glasserman, R., 1997. Pricing American-style securities using simulation. Journal of Economic Dynamics and Control, 21 June: 1323–1352.
4. Harrison, J. M., 1985. Brownian Motion and Stochastic Flow Systems, New York: Wiley.
5. Jamshidian, F., 1989. An exact bond pricing formula. Journal of Finance, 44: 205–209.
6. Liesen, D. P., 1999. Valuation of barrier options in a Black-Scholes setup with jump risk, Discussion paper, B-446 Germany: University of Bonn.
7. Merton, R. C., 1976. Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3: 125–144.
8. Tilley, J. A., 1993. Valuing American options in a path simulation model. Transactions of the Society of Actuaries, 45: 499–520.
9. Vasicek, O., 1977. An equilibrium characterization of the term structure. Journal of Financial Economics, 5: 177–188.