Pricing exotic options: Monotonicity in volatility and efficient simulation

Probability in the Engineering and Informational Sciences

Volumn 14, Issue 3, 2000, Pages 317-326

  Ross, Sheldon M ^a   Shanthikumar, J George ^a  

^a DEPARTMENT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FUNCTIONS;

CONVEX FUNCTIONS; EFFICIENT SIMULATION; EUROPEAN OPTION; EXOTIC OPTION; GEOMETRIC BROWNIAN MOTION; MONOTONICITY; OPTION PRICE; RISK NEUTRALS;

COSTS;

EID: 0034549277     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0269964800143037     Document Type: Article

References (7)

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2. Boyle, P. (1977). Options, a Monte Carlo approach. Journal of Financial Economics 4: 323-338.
3. Boyle, P., Broadie, M., & Glasserman, P. (1997). Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control 21: 1267-1321.
4. Jagannathan, R.K. (1984). Call options and the risk of underlying securities. Journal of Financial Economics 13: 425-434.
5. Ross, S.M. (1997). Simulation, 2nd ed. New York: Academic Press.
6. Ross, S.M. (1999). Average run lengths for moving average control charts. Probability in the Engineering and Informational Sciences 14(2): 209-220.
7. Shaked, M. & Shanthikumar, J.G. (1994). Stochastic orders and their applications. New York: Academic Press.