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 language | English (US) |
|---|---|
| Pages (from-to) | 325-328 |
| Number of pages | 4 |
| Journal | Winter Simulation Conference Proceedings |
| Volume | 1 |
| State | Published - 2001 |
| Externally published | Yes |
| Event | Proceedings of the 2001 Winter Simulation Conference - Arlington, VA, United States Duration: Dec 9 2001 → Dec 12 2001 |
All Science Journal Classification (ASJC) codes
- Software
- Modeling and Simulation
- Safety, Risk, Reliability and Quality
- Chemical Health and Safety
- Applied Mathematics