Pricing Discrete European Barrier Options Using Lattice Random Walks

DOI10.1111/1467-9965.T01-1-00178MaRDI QIDQ4825513zbMATH OpenOpenAlexFDO

Authors Per Hörfelt

Publication date 28 October 2004

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.t01-1-00178

zbMATH Keywords

rate of convergenceBesov spaces

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 5819433 (Why is no real title available?)
• scientific article; zbMATH DE number 3536702 (Why is no real title available?)
• scientific article; zbMATH DE number 3433450 (Why is no real title available?)
• scientific article; zbMATH DE number 3319139 (Why is no real title available?)
• A continuity correction for discrete barrier options
• Asymptotics of the price oscillations of a European call option in a tree model
• Besov spaces and applications to difference methods for initial value problems
• Connecting discrete and continuous path-dependent options
• Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
• Monte Carlo methods for security pricing
• PDE methods for pricing barrier options
• Quadrature formulas for the Wiener measure

Cited in

(6)

• Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
• A lattice algorithm for pricing moving average barrier options
• Efficient and high accuracy pricing of barrier options under the CEV diffusion
• Romberg numerical method for partial differential Brownian model with time parameter for discrete barrier option
• Discrete-time quadratic hedging of barrier options in exponential Lévy model
• Application of simplest random walk algorithms for pricing barrier options

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