Conditioning on one-step survival for barrier option simulations

Operations Research

Volumn 49, Issue 6, 2001, Pages 923-937

  Glasserman, Paul ^a   Staum, Jeremy ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; COMPUTER SIMULATION; ESTIMATION; FINANCE; MARKOV PROCESSES; MONTE CARLO METHODS; PROBABILITY DISTRIBUTIONS;

ASSET PRICING; BARRIER OPTIONS; VARIANCE REDUCTION;

OPERATIONS RESEARCH;

EID: 0035521448     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.49.6.923.10018     Document Type: Article

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