Pricing of barrier options by marginal functional quantization

DOI10.1515/MCMA.2011.015MaRDI QIDQ5388198zbMATH OpenOpenAlexFDO

Authors Abass Sagna

Publication date 18 April 2012

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.1037

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Abstract: This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter using quadratic optimal functional quantization. Some numerical tests are fulfilled in the Black-Scholes model and in a local volatility model and a comparison to the so called Brownian Bridge method is also done.

Cites work

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Cited in

(4)

• Recursive marginal quantization of higher-order schemes
• Pricing via recursive quantization in stochastic volatility models
• Recursive marginal quantization of the Euler scheme of a diffusion process
• Stationary Heston model: calibration and pricing of exotics using product recursive quantization

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