Very fast algorithms for implied barriers and moving-barrier options pricing

DOI10.1016/j.matcom.2022.09.018OpenAlexW4298009615MaRDI QIDQ2104341

Yu-Ming Lu, Yuh-Dauh Lyuu

Publication date: 7 December 2022

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2022.09.018

zbMATH Keywords

algorithmoption pricingfast Fourier transformtranslation invarianceimplied barriermoving-barrier option

Mathematics Subject Classification ID

Computer science (68-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Linear-time option pricing algorithms by combinatorics
• A Continuity Correction for Discrete Barrier Options
• A Closed-Form Formula for an Option with Discrete and Continuous Barriers
• Pricing Options With Curved Boundaries¹
• Valuation formulae for window barrier options
• Probability

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