Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Inc
Mathematical finance
9 (1999), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
In this paper we develop simulation techniques in order to evaluate single and double barrier options with general features. Our method is based on Sharp Large Deviation estimates, which allow one to improve the usual Monte Carlo procedure. Numerical results are provided and show the validity of the proposed simulation algorithm.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.t01-1-00071
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