Connecting discrete and continuous path-dependent options
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Publication:1297909
DOI10.1007/S007800050052zbMATH Open0924.90007OpenAlexW1975761536MaRDI QIDQ1297909FDOQ1297909
Mark Broadie, S. G. Kou, Paul Glasserman
Publication date: 14 September 1999
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050052
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Derivative securities (option pricing, hedging, etc.) (91G20) Sums of independent random variables; random walks (60G50) Finite difference methods for boundary value problems involving PDEs (65N06)
Cited In (70)
- Prices and sensitivities of Asian options: A survey
- A comprehensive mathematical approach to exotic option pricing
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- Lookback option prices under a spectrally negative tempered-stable model
- The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
- A simple and efficient numerical method for pricing discretely monitored early-exercise options
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
- Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
- Rate of convergence of option prices by using the method of pseudomoments
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process
- Option pricing, maturity randomization and distributed computing
- Pricing Discrete Dynamic Fund Protections
- Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
- Using forward Monte-Carlo simulation for the valuation of American barrier options
- Hedging in an illiquid binomial market
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Pricing Israeli options: a pathwise approach
- An exact subexponential-time lattice algorithm for Asian options
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- Analysis of quadrature methods for pricing discrete barrier options
- Lookback option pricing for regime-switching jump diffusion models
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- A moment expansion approach to option pricing
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- Zooming in on a Lévy process at its supremum
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
- Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
- Exercise Regions And Efficient Valuation Of American Lookback Options
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- Barrier option pricing: a hybrid method approach
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II: PATH-DEPENDENT CONTINGENT CLAIMS
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Exotic options under Lévy models: an overview
- Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
- Explainable neural network for pricing and universal static hedging of contingent claims
- Contingent claims on assets with conversion costs.
- Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
- PDE methods for pricing barrier options
- Improving Brownian approximations for boundary crossing problems
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
- A general approach for lookback option pricing under Markov models
- An efficient convergent lattice algorithm for European Asian options
- Dynamic Fund Protection
- Chapman-Kolmogorov lattice method for derivatives pricing
- Pricing and exercising American options: an asymptotic expansion approach
- Using the continuous price as control variate for discretely monitored options
- Z-Transform and preconditioning techniques for option pricing
- Double knock-out Asian barrier options which widen or contract as they approach maturity
- Discrete approximation of finite-horizon American-style options
- Pricing Discrete European Barrier Options Using Lattice Random Walks
- Pricing financial claims contingent upon an underlying asset monitored at discrete times
- Geometrically Convergent Simulation of the Extrema of Lévy Processes
- Lookback option pricing using the Fourier transform B-spline method
- THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
- Continuity correction: on the pricing of discrete double barrier options
- LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES
- Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets
- Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes
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