Path-Dependent Options Pricing : A Quasi Monte Carlo Simulation Approach with MATLAB

This paper presents a tailor-made discrete-time simulation model for valuing path-dependent options, such as lookback option, barrier option and Asian option. In the context of a real-life application that is interest to many students, we illustrate the option pricing by using Quasi Monte Carlo simulation methods. We give an Asian option pricing which relies heavily on the underlying asset path as a case study with the implementation of MATLAB code

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Year of publication:	2010
Authors:	Au Yeung, Jay
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory \| Simulation \| Derivat \| Derivative

Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2010 erstellt
Other identifiers:	10.2139/ssrn.1659248 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C60 - Mathematical Methods and Programming. General ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013139321