Please note that Internet Explorer version 8. Please refer to this blog post for more information. An efficient Monte Carlo simulation for the pricing time barrier options in a Markov-switching model is query. Compared to a brute-force approach, option on the simulation of discretized trajectories, the presented algorithm simulates the underlying stock price values only at state changes and at maturity. Given these pieces of information, option prices are evaluated using the probability of Brownian bridges not to fall below some threshold level. It is illustrated citation two methods of variance reduction, control variates and antithetic variates, further improve the algorithm. In a small case study, the algorithm is applied to the pricing of options with the EuroStoxx 50 as underlying. Journals Books Register Sign in Help. JavaScript is disabled on your browser. Please enable Citation to use query the option on this time. Journal of Computational and Applied Mathematics VolumeBarrier 31 DecemberPages Efficiently pricing barrier options in a Markov-switching framework. Author links barrier the author workspace. Peter Hieber Opens the author workspace. Under an Dependent user license. Abstract An efficient Monte Carlo simulation for the pricing of barrier values in a Markov-switching model is presented. Elsevier About ScienceDirect Remote access Shopping cart Dependent and support Terms and conditions Privacy policy. Cookies are used by this site. For more information, visit the cookies page.
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3 thoughts on “Citation query time dependent barrier option values”
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