A Note on Simulation Pricing of <i>π</i>-Options
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a <inline-formula><math display="inline"><semantics><mi>π</mi></semantics></math></inline-formula>-option. This method is based on the simula...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-08-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/8/3/90 |