Search

Our systems are now restored following recent technical disruption, and we’re working hard to catch up on publishing. We apologise for the inconvenience caused. Find out more: https://www.cambridge.org/universitypress/about-us/news-and-blogs/cambridge-university-press-publishing-update-following-technical-disruption

Skip to main content Accessibility help

Home
Search

Only show content I have access to (0)

Articles (1)

Over 3 years (1)

From year:

To year:

Apply

Mathematics (1)

numerical methods (including monte carlo methods) (91g60)

European Journal of Applied Mathematics (1)

View selected items
Save to my bookmarks
Export citations
Download PDF (zip)
Save to Kindle
Save to Dropbox
Save to Google Drive
Save content to
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to .

To save content items to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Please be advised that item(s) you selected are not available.
You are about to save
Your Kindle email address

Please provide your Kindle email.

@free.kindle.com @kindle.com (service fees apply)

By using this service, you agree that you will only keep content for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services

1 results

A backward Monte Carlo approach to exotic option pricing †
G. BORMETTI, G. CALLEGARO, G. LIVIERI, A. PALLAVICINI
Journal:

European Journal of Applied Mathematics / Volume 29 / Issue 1 / February 2018

Published online by Cambridge University Press:

12 April 2017, pp. 146-187
- Article
- - Get access
    
    Check if you have access via personal or institutional login
    
    Log in Register
- Export citation
We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction of a discrete multinomial tree. The crucial feature of our approach is that – in a similar spirit to the Brownian Bridge – each random path runs backward from a terminal fixed point to the initial spot price. We characterize the tree in two alternative ways: (i) in terms of the optimal grids originating from the Recursive Marginal Quantization algorithm, (ii) following an approach inspired by the finite difference approximation of the diffusion's infinitesimal generator. We assess the reliability of the new methodology comparing the performance of both approaches and benchmarking them with competitor Monte Carlo methods.

Search Results

Refine search

Refine search

Actions for selected content:

1 results

A backward Monte Carlo approach to exotic option pricing †

Search Results

Refine search

Refine search

Actions for selected content:

Save Search

1 results

A backward Monte Carlo approach to exotic option pricing†

A backward Monte Carlo approach to exotic option pricing †