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(2011 / vol.13 / no.1)
EFFICIENT MONTE CARLO METHOD FOR PATH-DEPENDENT EXOTICS
BYOUNG KI SEO
Pages. 67-71   



A Monte Carlo method is one of the most frequently used methods to price financial exotic derivatives. It can be used for almost all financial derivatives easily except american style ones. Especially for path-dependent exotics, it can be a most useful method since we can easily give conditions to generated sample paths. However, generating sample paths with daily grids for giving conditions could waste the performance. Alternative solution using a probability density will be introduced and applied to pricing an ELS, one of the most exotic derivatives in Korea.



1. Introduction
2. How to price the ELS
3. Probability density function for extreme values