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Exit Probability With Applications In Pricing Derivatives

Posted on:2014-06-30Degree:MasterType:Thesis
Country:ChinaCandidate:B ZhouFull Text:PDF
GTID:2269330422960530Subject:Statistics
Abstract/Summary:PDF Full Text Request
In this paper, we study simulation methods in pricing barrier options and creditderivatives.We get a upper bound of the overall error aroused from the Sharp LargeDeviation estimates of exit probability.Numerical results are provided and show that theupper bound converges to zero very fast.
Keywords/Search Tags:exit probability, Monte Carlo methods, Sharp Large Deviations, barrier op-tions
PDF Full Text Request
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