Showing 1 - 10 of 17
We present efficient simulation procedures for pricing barrier options when the underlying security price follows a geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in the same setting, but no variance reduction was...
Persistent link: https://www.econbiz.de/10013073825
Persistent link: https://www.econbiz.de/10009717278
Persistent link: https://www.econbiz.de/10011308782
Persistent link: https://www.econbiz.de/10015181793
Persistent link: https://www.econbiz.de/10014501099
Persistent link: https://www.econbiz.de/10012317113
Persistent link: https://www.econbiz.de/10012437562
Persistent link: https://www.econbiz.de/10012533936
Persistent link: https://www.econbiz.de/10012534328
Persistent link: https://www.econbiz.de/10012546706