Numerical method of pricing discretely monitored barrier option

DOI10.1016/J.CAM.2014.08.022zbMATH Open1299.91167OpenAlexW2060075039MaRDI QIDQ475657FDOQ475657

Tianguo Li, Sungchul Lee, Yicheng Hong

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

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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)

Cites Work

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• A continuity correction for discrete barrier options
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• Implementing models in quantitative finance: methods and cases
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• An exact analytical solution for discrete barrier options
• Pricing Options With Curved Boundaries¹
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• Pricing double barrier options using Laplace transforms
• A Closed-Form Formula for an Option with Discrete and Continuous Barriers
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• Numerical valuation of discrete double barrier options
• Laplace transform and finite difference methods for the Black-Scholes equation

Cited In (7)

• Pricing discretely-monitored double barrier options with small probabilities of execution
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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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