Title :
Efficient simulation for discrete path-dependent option pricing
Author :
Calvin, James M.
Author_Institution :
Dept. of Comput. Sci., New Jersey Inst. of Technol., Newark, NJ, USA
Abstract :
The article presents an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection with estimating the value of path-dependent options when prices are monitored at a discrete set of times. The expected running time of the algorithm is bounded above by a constant as the number of steps increases
Keywords :
Brownian motion; costing; discrete event simulation; discrete time systems; Gaussian increments; discrete path-dependent option pricing; discrete times; expected running time; function simulation; minimum terminal value; path-dependent options; price monitoring; random walk; Computational modeling; Computer science; Computerized monitoring; Differential equations; Pricing; Stochastic processes;
Conference_Titel :
Simulation Conference, 2001. Proceedings of the Winter
Conference_Location :
Arlington, VA
Print_ISBN :
0-7803-7307-3
DOI :
10.1109/WSC.2001.977294
