PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER MARK JOSHI AND ROBERT TANG Abstract. We develop new Monte Carlo techniques based on stratifying the

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Date: 2013-08-05 02:14:58 Mathematical finance Stochastic processes Probability and statistics Normal distribution Barrier option Black–Scholes Variance reduction Options Statistics Financial economics		PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER MARK JOSHI AND ROBERT TANG Abstract. We develop new Monte Carlo techniques based on stratifying the Add to Reading List Source URL: fbe.unimelb.edu.au Download Document from Source Website File Size: 362,65 KB Share Document on Facebook

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