1
vote
1answer
29 views

Importance sampling for barrier option like pricing by Monte carlo

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing. Please could someone help me leaving some references? If ...
0
votes
2answers
80 views

What would be a concise method to learn Monte Carlo methods?

Is there a concise way of learning the core Monte Carlo Methods from resources available online? This leads to my next question which is what are the core ideas to learn in Monte Carlo methods?
8
votes
3answers
556 views

Reference on Markov chain Monte Carlo method for option pricing?

I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?