Scholarlink

This chapter provides a (partial) answer to the following question: can we simulate the continuous—or genuine—Euler scheme? To this end, we first investigate the Brownian bridge and its avatar for diffusion processes which allows to simulate in an exact way some functionals of the genuine Euler scheme involving its maximum or its minimum over a given time interval and provide sharper approximations of functionals involving time integrals. Several first order weak error are stated with precise references. Applications to several families of path-dependent European options (Asian, lookback, barrier) are given, including some variance reduction methods for barrier options.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

The Diffusion Bridge Method: Application to Path-Dependent Options (II)

  • 章节

  • 发表日期：

    2026年

查看全文
  • Gilles Pagès

摘要

This chapter provides a (partial) answer to the following question: can we simulate the continuous—or genuine—Euler scheme? To this end, we first investigate the Brownian bridge and its avatar for diffusion processes which allows to simulate in an exact way some functionals of the genuine Euler scheme involving its maximum or its minimum over a given time interval and provide sharper approximations of functionals involving time integrals. Several first order weak error are stated with precise references. Applications to several families of path-dependent European options (Asian, lookback, barrier) are given, including some variance reduction methods for barrier options.