Multilevel path branching for digital options
We propose a new Monte Carlo-based estimator for digital options with assets modelled by a stochastic differential equation (SDE). The new estimator is based on repeated path splitting and relies on the correlation of approximate paths of the underlying SDE that share parts of a Brownian path. Combi...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2024
|