Option Pricing using Monte Carlo Simulation - Pricing Exotic Option using Monte Carlo について・・・
Now that we have a working Monte Carlo simulation model we extend it to price a number of exotic contracts such as Asian options, barrier options, binary options and lookback options. We take a quick look at the relationship between Vanilla Calls and Knock In and Knock Outs calls; Asset or nothing options and cash or nothing options; Look back calls.
The approach used here can be further extended to price contingent premium options, balloon exercise, participating forwards and other exotic contracts.
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