Pricing and hedging barrier options based on Merton model and Monte Carlo simulation

DOI10.3969/J.ISSN.0253-2778.2018.11.007MaRDI QIDQ5196348zbMATH OpenFDO

Authors Xiang Zheng, Yongfeng Wei

Publication date 2 October 2019

zbMATH Keywords

option pricingMonte Carlo simulationoption hedgingbarrier optionsMerton model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• Using forward Monte-Carlo simulation for the valuation of American barrier options
• Hedging barrier options in GARCH models with transaction costs
• scientific article; zbMATH DE number 6150131 (Why is no real title available?)
• Hedge funds as knock-out options

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