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

DOI10.3969/J.ISSN.0253-2778.2018.11.007zbMATH Open1438.91185MaRDI QIDQ5196348FDOQ5196348

Authors: Xiang Zheng, Yongfeng Wei 

Publication date: 2 October 2019

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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)

Cited In (4)

• Title not available (Why is that?)
• Using forward Monte-Carlo simulation for the valuation of American barrier options
• Hedge funds as knock-out options
• Hedging barrier options in GARCH models with transaction costs

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