Fast and accurate pricing of discretely monitored barrier options by numerical path integration

DOI10.1007/s10614-007-9091-5zbMath1310.91146OpenAlexW2149064779MaRDI QIDQ2461660

Christian Skaug, Arvid Naess

Publication date: 21 November 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-007-9091-5

zbMATH Keywords

discrete monitoringbarrier optionsnumerical path integration

Mathematics Subject Classification ID

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

Related Items (5)

Adaptive density tracking by quadrature for stochastic differential equations ⋮ A numerical method for pricing discrete double barrier option by Legendre multiwavelet ⋮ Local averaged path integration method approach for nonlinear dynamic systems ⋮ On numerical density approximations of solutions of SDEs with unbounded coefficients ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

Cites Work

• The Pricing of Options and Corporate Liabilities
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A Continuity Correction for Discrete Barrier Options
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