Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation-Reference-Cited by-同舟云学术

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Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation

Published:1997-01 Issue:1 Volume:53 Page:62-68
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Beaglehole David R.¹,Dybvig Philip H.²,Zhou Guofu³

Affiliation:

1. David R. Beaglehole is a vice president at Goldman, Sachs & Company in New York.

2. Philip H. Dybvig is the Boatmen's Bancshares Professor of Banking and Finance at Washington University in St. Louis.

3. Guofu Zhou is an associate professor of finance at Washington University in St. Louis.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v53.n1.2057

Reference5 articles.

1. The Econometrics of Financial Markets

2. On Contingent Claims that Insure Ex-post Optimal Stock Market Timing

3. Brownian Motion and Stochastic Calculus

4. Estimating Variance From High, Low and Closing Prices

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1. A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes;Mathematical Methods in the Applied Sciences;2022-11-22

2. Pricing discretely-monitored double barrier options with small probabilities of execution;European Journal of Operational Research;2021-04

3. A general control variate method for Lévy models in finance;European Journal of Operational Research;2020-08

4. A numerical method for pricing discrete double barrier option by Legendre multiwavelet;Journal of Computational and Applied Mathematics;2018-01

5. Efficient Pricing of Barrier Options on High Volatility Assets Using Subset Simulation;SSRN Electronic Journal;2018

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