Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This kind of options may match with risk hedging needs more closely than standard options. Barrier options behave like a plain vanilla option with one exception. A zero payoff may occur before expiry, if t...
| Auteurs principaux: | , |
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| Format: | Article |
| Langue: | English |
| Publié: |
Taylor & Francis Group
2017-03-01
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| Collection: | Journal of Taibah University for Science |
| Sujets: | |
| Accès en ligne: | http://www.sciencedirect.com/science/article/pii/S1658365515000357 |