Efficient simulation for discrete path-dependent option pricing

Research output: Contribution to journalConference articlepeer-review

2 Scopus citations

Abstract

In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection with estimating the value of path-dependent options when prices are monitored at a discrete set of times. The expected running time of the algorithm is bounded above by a constant as the number of steps increases.

Original languageEnglish (US)
Pages (from-to)325-328
Number of pages4
JournalWinter Simulation Conference Proceedings
Volume1
StatePublished - Dec 1 2001
EventProceedings of the 2001 Winter Simulation Conference - Arlington, VA, United States
Duration: Dec 9 2001Dec 12 2001

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Chemical Health and Safety
  • Applied Mathematics

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