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Variance reduction techniques of importance sampling Monte Carlo methods for pricing options

Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436

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Localization and exact simulation of Brownian motion-driven stochastic differential equations

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Equilibrium option pricing : a Monte Carlo approach

Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145

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Handling discontinuities in financial engineering : good path simulation and smoothing

Wang, Xiaoqun - In: Operations research 64 (2016) 2, pp. 297-314

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Pricing discrete double barrier options with a numerical method

Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: The journal of asset management 16 (2015) 4, pp. 243-271

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A probabilistic Monte Carlo model for pricing discrete barrier and compound real options

Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 113-126

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Pricing the exotic: path-dependent american options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021

Persistent link: https://www.econbiz.de/10012804267

American option pricing with machine learning : an extension of the Longstaff-Schwartz method

Lin, Jingying; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 19 (2021) 3, pp. 85-109

Persistent link: https://www.econbiz.de/10012804834

Pricing the exotic : path-dependent American options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24

We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...

Persistent link: https://www.econbiz.de/10012545887

Artificial neural network for option pricing with and without asymptotic correction

Funahashi, Hideharu - In: Quantitative finance 21 (2021) 4, pp. 575-592

Persistent link: https://www.econbiz.de/10012483840