l**********t
发帖数: 5754 | 1 Can any expert advise references (books/articles) on pricing path-dependent
derivatives with MC simulation? Many thanks. | p*x
发帖数: 260 | 2 For American options
http://www.rhsmith.umd.edu/faculty/mfu/fu_files/FLMSW01.pdf
For other path-dependent options
standard MC method applies, but you would have to use
some sort of variance reduction techniques, like
Brownian Bridge. | z****u
发帖数: 185 | 3 Why Brownian Bridge is a variance reduction techniques?
Thanks.
【在 p*x 的大作中提到】
: For American options
: http://www.rhsmith.umd.edu/faculty/mfu/fu_files/FLMSW01.pdf
: For other path-dependent options
: standard MC method applies, but you would have to use
: some sort of variance reduction techniques, like
: Brownian Bridge.
| l**********t
发帖数: 5754 | |
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