Option pricing via Monte Carlo simulation: A weak derivative approach

Probability in the Engineering and Informational Sciences

Volumn 15, Issue 3, 2001, Pages 335-349

  Heidergott, Bernd ^a  

^a EURANDOM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; ECONOMICS; FINANCIAL MARKETS;

COMPUTATION TIME; GRADIENT ESTIMATION; MULTIDIMENSIONAL OPTIMIZATION; OPTION PRICING; PAYOFF FUNCTION; PERTURBATION ANALYSIS; WEAK DERIVATIVES;

MONTE CARLO METHODS;

EID: 0347752439     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0269964801153040     Document Type: Article

References (6)

1. Fu, M.C. & Hu, J.-Q. (1995). Sensitivity analysis for Monte Carlo simulation of option pricing. Probability in the Engineering and Informational Sciences 9: 417-446.
2. Fu, M.C. & Hu, J.-Q. (1997). Conditional Monte Carlo: Gradient estimation and optimization applications. Boston: Kluwer Academic.
3. Fu, M.C., Wu, R., Gürkan, G., & Özge, A. (2000). A note on perturbation analysis estimators for American-style options. Probability in the Engineering and Informational Sciences 14: 385-392.
4. Hull, J.C. (1997). Options, futures, and other derivative securities, 3rd ed. Englewood Cliffs, NJ: Prentice-Hall.
5. Pflug, G.C. (1996). Optimization of stochastic models. Boston: Kluwer Academic.
6. Stoll, H.R. & Whaley, R.E. (1993). Futures and options. Cincinnati, OH: South-Western Press.