Numerical method of pricing discretely monitored barrier option

DOI10.1016/J.CAM.2014.08.022MaRDI QIDQ475657zbMATH OpenOpenAlexFDO

Authors Yicheng Hong, Sungchul Lee, Tianguo Li

Publication date 27 November 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.08.022

zbMATH Keywords

option pricingbarrier optionrecombining tree

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)

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Cites work

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• scientific article; zbMATH DE number 3273551 (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
• An exact analytical solution for discrete barrier options
• Implementing models in quantitative finance: methods and cases
• Laplace transform and finite difference methods for the Black-Scholes equation
• Numerical valuation of discrete double barrier options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms

Cited in

(10)

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• A simple and efficient numerical method for pricing discretely monitored early-exercise options
• Pricing discretely-monitored double barrier options with small probabilities of execution
• scientific article; zbMATH DE number 6520816 (Why is no real title available?)
• Analysis of quadrature methods for pricing discrete barrier options
• scientific article; zbMATH DE number 6907833 (Why is no real title available?)
• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
• Fast quadrature methods for options with discrete dividends
• A meshless method for Asian style options pricing under the Merton jump-diffusion model
• Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

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