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Brownian Bridge Algorithm
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Monte Carlo method
- Item Type:
- Essay
- Tag(s):
- brwonian bridge, monte carlo, barrier option
- Permanent URL:
- https://doi.org/10.17613/5gvm-ey19
- Abstract:
- The Brownian Bridge algorithm belongs to the family of Monte Carlo or Quasi-Monte Carlo methods with reduced variance. It generates sample paths which all start at the same initial point and end, at the same moment of time, at the same final point.
- Notes:
- https://finpricing.com/lib/EqBarrier.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
- Share this:
Open access, open source, open to all
brownianbridge.pdf