2 articles for “Exotic and Barrier Options”

Set a search alert

Research ArticleOpen accessIn the keywordsMultivariate Option Pricing with Gaussian Mixture Distributions and Mixed CopulasJimbo Henri Claver, Tatanfack Emerson, Shu FelixRecently, it has been reported that the hypothesis proposed by the classical black scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account … …Journal of Mathematics and Statistics, Vol. 19, Issue 1 · 3 Apr 2023 · 6,511 accessesView PDF Cite

Research ArticleOpen accessIn the abstractA Comparative Study on Barrier Option Pricing using Antithetic and Quasi Monte-Carlo SimulationsNneka Umeorah, Phillip MasheleMonte-Carlo simulations have been utilized greatly in the pricing of derivative securities. Over the years, several variance reduction techniques have been developed to curb the instability, as well as, increase the simulation eﬃciencies of the Monte-Carlo methods. Our approach in this research work will consider the use of antithetic variate techniques to estimate the fair prices of barrier options. Next, … …Journal of Mathematics and Statistics, Vol. 14, Issue 1 · 9 May 2018 · 8,793 accessesView PDF Cite