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EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
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 Title & Authors
EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
Moon, Kyoung-Sook;
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 Abstract
A new Monte Carlo method is presented to compute the prices of barrier options on stocks. The key idea of the new method is to use an exit probability and uniformly distributed random numbers in order to efficiently estimate the first hitting time of barriers. It is numerically shown that the first hitting time error of the new Monte Carlo method decreases much faster than that of standard Monte Carlo methods.
 Keywords
barrier option pricing;Monte Carlo method;exit probability;
 Language
English
 Cited by
1.
Digital barrier options pricing: an improved Monte Carlo algorithm, Mathematical Sciences, 2016, 10, 3, 65  crossref(new windwow)
2.
Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance, Applied Mathematical Finance, 2014, 21, 4, 363  crossref(new windwow)
3.
PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION, International Journal of Theoretical and Applied Finance, 2015, 18, 03, 1550018  crossref(new windwow)
4.
Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices, Journal of Taibah University for Science, 2015  crossref(new windwow)
5.
BENCHOP – The BENCHmarking project in option pricing, International Journal of Computer Mathematics, 2015, 92, 12, 2361  crossref(new windwow)
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