Pricing exotic options: Monotonicity in volatility and efficient simulation

被引：0
|
作者：
Ross, Sheldon M. [1 ]
Shanthikumar, J. George [2 ]
机构：
[1] Dept. Indust. Eng. Operations Res., University of California, Berkeley, CA 94720, United States
[2] Dept. Indust. Eng. Operations Res., Walter A. Haas School of Business, University of California, Berkeley, CA 94720, United States
来源：
| 2000年 / Cambridge University Press卷 / 14期
关键词：
D O I：
10.1017/s0269964800143037
中图分类号：
学科分类号：
摘要：
7
引用
收藏
相关论文
共 50 条
  • [31] The pricing of barrier options with stepwise volatility functions
    Jin, Hui
    PROCEEDINGS OF THE 3RD INTERNATIONAL CONFERENCE ON RISK MANAGEMENT & GLOBAL E-BUSINESS, VOLS I AND II, 2009, : 697 - 701
  • [32] Realizing smiles: Options pricing with realized volatility
    Corsi, Fulvio
    Fusari, Nicola
    La Vecchia, Davide
    JOURNAL OF FINANCIAL ECONOMICS, 2013, 107 (02) : 284 - 304
  • [33] Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
    Lipton, Alexander
    Gal, Andrey
    Lasis, Andris
    QUANTITATIVE FINANCE, 2014, 14 (11) : 1899 - 1922
  • [34] Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach
    Nishiba M.
    Asia-Pacific Financial Markets, 2013, 20 (2) : 147 - 182
  • [35] A new efficient simulation strategy for pricing path-dependent options
    Zhao, Gang
    Zhou, Yakun
    Vakili, Pirooz
    PROCEEDINGS OF THE 2006 WINTER SIMULATION CONFERENCE, VOLS 1-5, 2006, : 703 - +
  • [36] Basic Ways of Monte Carlo Simulation to Efficient Pricing of European Options
    Tichy, Tomas
    PROCEEDINGS OF THE 23RD INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2005, 2005, : 381 - 389
  • [37] Pricing exotic options using MSL-MC
    Abe, Klaus Schmitz
    QUANTITATIVE FINANCE, 2011, 11 (09) : 1379 - 1392
  • [38] An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
    Ma, Junmei
    Huang, Sihuan
    Xu, Wei
    JOURNAL OF DERIVATIVES, 2020, 27 (03): : 75 - 98
  • [39] Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
    Kiesel, Ruediger
    Lutz, Matthias
    JOURNAL OF COMPUTATIONAL FINANCE, 2011, 14 (04) : 37 - 72
  • [40] Efficient trinomial trees for local-volatility models in pricing double-barrier options
    Lok, U. Hou
    Lyuu, Yuh-Dauh
    JOURNAL OF FUTURES MARKETS, 2020, 40 (04) : 556 - 574
12345