Abstract
We introduce Monte Carlo techniques and Quasi Monte Carlo techniques for option pricing. First, we give an idea how to use simulation techniques to determine option prices, then — using the developed basic methods — we give examples how to price more complex i.e. exotic options even on more than one underlying. Finally we present a short guideline how to price exotic options with the proposed techniques.
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Lüssem, J., Schumacher, J. (2002). Simulation based Option Pricing. In: Applied Quantitative Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-05021-7_16
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DOI: https://doi.org/10.1007/978-3-662-05021-7_16
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-43460-3
Online ISBN: 978-3-662-05021-7
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