Pricing Discrete European Barrier Options Using Lattice Random Walks
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Publication:4825513
DOI10.1111/1467-9965.t01-1-00178zbMath1065.91026OpenAlexW2028426342MaRDI QIDQ4825513
Publication date: 28 October 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00178
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Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance ⋮ Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model
Cites Work
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- Besov spaces and applications to difference methods for initial value problems
- Connecting discrete and continuous path-dependent options
- Monte Carlo methods for security pricing
- Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
- Quadrature formulas for the Wiener measure
- PDE methods for pricing barrier options
- A Continuity Correction for Discrete Barrier Options
- Asymptotics of the price oscillations of a European call option in a tree model
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