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 - Barrier option - Document - PDFSEARCH.IO

First Page	Meta Content
	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 Document Date: 2013-08-05 02:14:58 Open Document File Size: 362,65 KB Share Result on Facebook Currency pence / / IndustryTerm similar algorithm / above algorithm / / Organization S RN / / Person MARK JOSHI / Ai / ROBERT TANG / / Position rT / straight-forward / Ke−rT / / Product t10 / / ProvinceOrState Tennessee / / Technology similar algorithm / above algorithm / simulation / / SocialTag 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 theAdd to Reading List