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Abstract: Pricing financial options often requires Monte Carlo methods. One particular case is that of barrier options, whose payo# may be zero depending on whether or not an underlying asset crosses a barrier during the life of the option. This paper develops variance reduction techniques that take advantage of the special structure of barrier options, and are appropriate for general simulation problems with similar structure. We use a change of measure at each step of the simulation to reduce the... (Update)
Context of citations to this paper: More
.... scheduled to terminate before the final time step, that minimizes the variance of an estimator with a fixed computational budget (Glasserman and Staum 2001b) In Section 2, we review the formalism and main results of the previous paper, including the use of the method for some...
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BibTeX entry: (Update)
Glasserman, P., and J. Staum. 2001a. Conditioning on onestep survival for barrier option simulations. Operations Research, forthcoming. http://citeseer.ist.psu.edu/glasserman99conditioning.html More
@misc{ glasserman-conditioning,
author = "P. Glasserman",
title = "Conditioning on onestep survival for barrier option simulations",
text = "Glasserman, P., and J. Staum. 2001a. Conditioning on onestep survival for
barrier option simulations. Operations Research, forthcoming.",
url = "citeseer.ist.psu.edu/glasserman99conditioning.html" }
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