Continuity Correction for Barrier Options in Jump-Diffusion Models

DOI10.1137/100817553zbMath1252.91077arXiv1012.3882OpenAlexW3098486936MaRDI QIDQ5388688

Damien Lamberton, El Hadj Aly Dia

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.3882

zbMATH Keywords

Bessel processjump-diffusionbarrier optioncontinuity correctionexponential Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Importance sampling and statistical Romberg method for Lévy processes ⋮ An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ Connecting discrete and continuous lookback or hindsight options in exponential Lévy models ⋮ LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL

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