Palmowski, Zbigniew; Serafin, Tomasz - In: Risks : open access journal 8 (2020) 3/90, pp. 1-19
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This … with the increasing depth of the tree. Under specific parametrization, this π-option is related to relative maximum …