Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === 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 p...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27038493194204590104 |
| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === 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.
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