Baldi, P., L. Caramellino, and M. Iovino. "Pricing general barrier options: a numerical approach using sharp large deviations," Mathematical Finance, (1998). Home/Search Document Not in Database Summary Related Articles |
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Conditioning on One-Step Survival for Barrier Option Simulations - Glasserman, Staum (1999) (Correct)
....can e#ectively monitor the barrier continuously. This is also possible if b is a vectorvalued function, and the minimum is taken coordinatewise. References for simulation of barrier options with continuous monitoring are Andersen and Brotherton Ratcli#e [1] Baldi, Caramellino, and Iovino [4], and Beaglehole, Dybvig, and Zhou [5] Asmussen, Glynn, and Pitman [3] considered the related problem of simulating the maximum of Brownian motion. If the conditional distribution of M i 1 given S i is not known, then the only choice is to use the methods of the previous subsection where ....
Baldi, P., L. Caramellino, and M. Iovino. "Pricing general barrier options: a numerical approach using sharp large deviations," Mathematical Finance, (1998).
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