Numerical valuation of discrete double barrier options

DOI10.1016/J.CAM.2009.10.029zbMath1182.91204OpenAlexW2148233817MaRDI QIDQ847225

Mariyan Milev, Aldo Tagliani

Publication date: 12 February 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.10.029

zbMATH Keywords

Black-Scholes modelquadrature methoddiscrete barrier optionsexoticsmultivariate normal probability evaluation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• Monte Carlo methods for security pricing
• PDE methods for pricing barrier options
• Pricing double barrier options using Laplace transforms
• An exact analytical solution for discrete barrier options
• A Continuity Correction for Discrete Barrier Options
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• Random walk duality and the valuation of discrete lookback options

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