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Research ArticleOpen accessAll words, across the recordEfficient Monte Carlo Algorithm Using Antithetic Variate and Brownian Bridge Techniques for Pricing the Barrier Options with Rebate PaymentsHasan AlzubaidiThe down-and-out call barrier option with rebate payment on dividend-paying stock is simulated using a new version of the Monte Carlo algorithm. The standard Monte Carlo method for simulating such an option suffers from two sources of errors: Hitting time error inherent from time stepping and the Monte Carlo statistical error. We present a modified version of Monte Carlo method … …Journal of Mathematics and Statistics, Vol. 12, Issue 1 · 22 Feb 2016 · 8,259 accessesView PDF Cite

11 results for “Option Pricing”