Simulating path-dependent options : a new approach
Year of publication: |
1998
|
---|---|
Authors: | Babsiri, Mohamed el ; Noel, Gerald |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 6.1998, 2, p. 65-83
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
-
Estimating security price derivatives using simulation
Broadie, Mark, (1993)
-
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul, (1999)
-
Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les, (1997)
- More ...
-
Babsiri, Mohamed El, (1998)
-
Babsiri, Mohamed El,
-
Extensions de la théorie de Black et Scholes à l'évaluation de produits financiers
Babsiri, Mohamed el, (1993)
- More ...