Efficient simulation for discrete path-dependent option pricing

In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection with estimating the value of path-dependent options when prices are monitored at a discrete set of times. The expected running time of the algorithm is bounded above by a constant as the number of steps increases.

• Type: Conference
• Year: 2001
• Where: WSC
• Authors: James M. Calvin
• Keywords: Gaussian Increments, Modeling And Simulation, Random Walk, Terminal Value, WSC 2001