Digital barrier options pricing: an improved Monte Carlo algorithm
DOI10.1007/S40096-016-0179-8zbMATH Open1369.91193OpenAlexW2344001146WikidataQ59460718 ScholiaQ59460718MaRDI QIDQ2398005FDOQ2398005
K. Nouri, B. Abbasi, Farahnaz Omidi, Leila Torkzadeh
Publication date: 14 August 2017
Published in: Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40096-016-0179-8
Recommendations
- EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited In (8)
- Title not available (Why is that?)
- 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
- A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms
- Monte Carlo applied to exotic digital options
- Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
- BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM
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