Showing 9 publications
On the error in the monte carlo pricing of some familiar european path-dependent options
Geometric bounds on certain sublinear functionals of geometric Brownian motion
On the Pricing of Path-Dependent Options and Related Problems
Extension of the corrected barrier approximation by Broadie, Glasserman and Kou
Pricing double barrier options with error control
A probabilistic interpretation of the theta-method
Pricing discrete European barrier options using lattice random walks
On the error in the Monte Carlo pricing of some familiar European path-dependent options
On the pricing of barrier options and related problems
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