A guide to simulation (2nd ed.)
A guide to simulation (2nd ed.)
Random number generation and quasi-Monte Carlo methods
Random number generation and quasi-Monte Carlo methods
Path-dependent options: extending the Monte Carlo simulation approach
Management Science
Accelerated simulation for pricing Asian options
Proceedings of the 30th conference on Winter simulation
Conditioning on One-Step Survival for Barrier Option Simulations
Operations Research
Probability in the Engineering and Informational Sciences
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Monotonicity and stratification
Proceedings of the 40th Conference on Winter Simulation
Control variate technique: a constructive approach
Proceedings of the 40th Conference on Winter Simulation
| Hi-index | 0.00 |
The purpose of this paper is twofold. First, it serves to describe a new strategy, called Structured Database Monte Carlo (SDMC), for efficient Monte Carlo simulation. Its second aim is to show how this approach can be used for efficient pricing of path-dependent options via simulation. We use efficient simulation of a sample of path-dependent options to illustrate the application of SDMC. Extensions to other path-dependent options are straightforward.