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• W3123605087 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. 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.
• W3123605087 created "2021-02-01" @default.
• W3123605087 creator A5078591220 @default.
• W3123605087 date "2009-01-01" @default.
• W3123605087 modified "2023-10-16" @default.
• W3123605087 title "Advanced Monte Carlo Methods for Barrier and Related Exotic Options" @default.
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• W3123605087 doi "https://doi.org/10.1016/s1570-8659(08)00012-4" @default.
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