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

DOI10.1016/J.MATCOM.2022.09.018OpenAlexW4298009615MaRDI QIDQ2104341FDOQ2104341

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

Recommendations

• An Efficient, and Fast Convergent Algorithm for Barrier Options
• An efficient algorithm for Bermudan barrier option pricing
• Fast and accurate pricing of barrier options under Lévy processes
• Fast numerical pricing of barrier options under stochastic volatility and jumps
• An efficient computational algorithm for pricing European, barrier and American options
• EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
• A lattice algorithm for pricing moving average barrier options
• Fast and accurate pricing of discretely monitored barrier options by numerical path integration
• A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate

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)

Cites Work

• The pricing of options and corporate liabilities
• Introduction to algorithms.
• Title not available (Why is that?)
• A continuity correction for discrete barrier options
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Title not available (Why is that?)
• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
• Pricing Options With Curved Boundaries¹
• Valuation formulae for window barrier options
• Title not available (Why is that?)
• A closed-form formula for an option with discrete and continuous barriers
• Linear-time option pricing algorithms by combinatorics
• Probability

Cited In (2)

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

This page was built for publication: Very fast algorithms for implied barriers and moving-barrier options pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2104341)