Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options
Date Issued
2007
Date
2007
Author(s)
Kang, Yu-Jhen
DOI
en-US
Abstract
This thesis develops a fast Monte Carlo approach to price multi-asset barrier options, the so-called rainbow barrier options. We develop a computational method based on the Brownian bridge concept to find the exiting probabilities
for a multivariate stochastic process. Compared with the standard Monte Carlo simulation to estimate the option value that the assets are continuously monitored, our method converges rapidly.
Subjects
多資產選擇權
障礙選擇權
路徑相依選擇權
彩虹選擇權
蒙地卡羅模擬
布朗橋.
multi-asset option
barrier option
path-dependent option
rainbow option
Monte Carlo simulation
Brownian bridge
Altiplano option
Annapurna option.
Type
thesis
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