PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER
Year of publication: |
2010
|
---|---|
Authors: | JOSHI, MARK ; TANG, ROBERT |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 05, p. 717-750
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | First-hitting time | passage times | hitting-times | barrier | discretely-monitored | inverse Gaussian | stratified sampling | Monte-Carlo |
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