Pricing exotic options - Monotonicity in volatility and efficient stimulation

Citation
Sm. Ross et Jg. Shanthikumar, Pricing exotic options - Monotonicity in volatility and efficient stimulation, PROB ENG I, 14(3), 2000, pp. 317-326
Citations number
7
Categorie Soggetti
Engineering Mathematics
Journal title
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
ISSN journal
02699648 → ACNP
Volume
14
Issue
3
Year of publication
2000
Pages
317 - 326
Database
ISI
SICI code
0269-9648(2000)14:3<317:PEO-MI>2.0.ZU;2-6
Abstract
We show that if the payoff of a European option is a convex function of the prices of the security at a fixed set of times, then the geometric Brownia n motion risk neutral option price is increasing in the volatility of the s ecurity, We also give efficient simulation procedures for determining the n o-arbitrage prices of European barrier, Asian, and lookback options.