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• W1524189088 abstract "In this work, we present advanced Monte Carlo techniques applied to the pricing of barrier options and other related exotic contracts. It covers in particular the Brownian bridge approaches, the barrier shifting techniques (BAST) and their extensions as well. We leverage the link between discrete and continuous monitoring to design efficient schemes, which can be applied to the Black-Scholes model but also to stochastic volatility or Merton's jump models. This is supported by theoretical results and numerical experiments." @default.
• W1524189088 created "2016-06-24" @default.
• W1524189088 creator A5078591220 @default.
• W1524189088 date "2008-01-02" @default.
• W1524189088 modified "2023-09-26" @default.
• W1524189088 title "Advanced Monte Carlo Methods for Barrier and Related Exotic Options" @default.
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• W1524189088 hasPublicationYear "2008" @default.
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