First and second generation lookback and barrier options: enhancing pricing accuracy through Conditional Monte Carlo
This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced by Babsiri and Noel in 1998. Path dependent...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIFIRM
2024-12-01
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| Series: | Risk Management Magazine |
| Subjects: | |
| Online Access: | https://www.aifirm.it/wp-content/uploads/2024/12/RMM-2024-03-Excerpt-1.pdf |