Corpus ID: 220363614

Note on simulation pricing of $\pi$-options

@article{Palmowski2020NoteOS,
  title={Note on simulation pricing of \$\pi\$-options},
  author={Zbigniew Palmowski and Tomasz Serafin},
  journal={arXiv: Computational Finance},
  year={2020}
}
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman (1997) to price a $\pi$-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result this algorithm produces the lower and the upper bounds that converge to the true price with the increasing depth of the tree. Under specific parametrization, this $\pi$-option is related to relative maximum drawdown… Expand

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