Conditioning on one-step survival for barrier option simulations

Keyphrases

• Barrier Options 100%
• Change of Measure 66%
• Monte Carlo Method 33%
• Payoff 33%
• Variance Reduction 33%
• Underlying Asset 33%
• Similarity Structure 33%
• Exact Distribution 33%
• Barrier Crossing 33%
• Conditional Probability 33%
• Conditional Distribution 33%
• Markov Process 33%
• Simulation Problem 33%
• Absorbing States 33%
• Financial Options 33%

Mathematics

• Barrier Option 100%
• Variance Reduction Technique 33%
• Conditional Probability 33%
• Conditional Distribution 33%
• Underlying Asset 33%
• Terminal Reward 33%
• Exact Conditional Distribution 33%
• Variance 33%
• Markov Process 33%
• Monte Carlo 33%
• Absorbing State 33%

Economics, Econometrics and Finance

• Option Trading 100%
• Monte Carlo Simulation 33%