Digital barrier options pricing: an improved Monte Carlo algorithm

DOI10.1007/S40096-016-0179-8MaRDI QIDQ2398005zbMATH OpenOpenAlexWikidataFDO

Authors B. Abbasi, Farahnaz Omidi, K. Nouri, Leila Torkzadeh

Publication date 14 August 2017

Published in Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s40096-016-0179-8

zbMATH Keywords

uniform distributionMonte Carlo simulationdouble barrierdigital option

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A new hybrid Monte Carlo simulation for Asian options pricing
• Absorbing boundaries and optimal stopping in a stochastic differential equation
• Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
• EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
• Efficient numerical solution of stochastic differential equations using exponential timestepping
• Exact asymptotics for the probability of exit from a domain and applications to simulation
• Integrals of higher binary options and defaultable bonds with discrete default information
• Mean square convergence of the numerical solution of random differential equations
• Numerical solution of random differential equations: a mean square approach
• Pricing of geometric Asian options under Heston's stochastic volatility model
• Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
• Risk-neutral valuation. Pricing and hedging of financial derivatives.
• Sequential Monte Carlo methods for option pricing
• Weak approximation of killed diffusion using Euler schemes.

Cited in

(14)

• scientific article; zbMATH DE number 6150131 (Why is no real title available?)
• Pricing general barrier options: a numerical approach using sharp large deviations
• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
• PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
• Barrier options pricing with joint distribution of Gaussian process and its maximum
• Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
• Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
• A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms
• On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo
• EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
• Monte Carlo applied to exotic digital options
• Application of simplest random walk algorithms for pricing barrier options
• Exact Monte Carlo simulation of killed diffusions
• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment

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