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

DOI10.1016/J.MATCOM.2022.09.018MaRDI QIDQ2104341zbMATH OpenOpenAlexFDO

Authors 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

option pricingalgorithmtranslation invariancefast Fourier transformimplied barriermoving-barrier option

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 45971 (Why is no real title available?)
• scientific article; zbMATH DE number 107951 (Why is no real title available?)
• scientific article; zbMATH DE number 2042813 (Why is no real title available?)
• A closed-form formula for an option with discrete and continuous barriers
• A continuity correction for discrete barrier options
• Introduction to algorithms.
• Linear-time option pricing algorithms by combinatorics
• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
• Pricing Options With Curved Boundaries¹
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Probability
• The pricing of options and corporate liabilities
• Valuation formulae for window barrier options

Cited in

(2)

• An Efficient, and Fast Convergent Algorithm for Barrier Options
• A lattice algorithm for pricing moving average barrier options

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