medium · Quantitative Finance
A 'barrier' option (e.g., Up-and-Out Call) is priced via Monte Carlo.
Why might antithetic variates be less effective here than for a vanilla call?
- The barrier level B is a deterministic constant
- The knock-out feature introduces a non-monotonicity in the payoff function
- Path-dependent options always require 1/M convergence
- Barrier options cannot be priced in a risk-neutral framework
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