Connecting discrete and continuous path-dependent options
From MaRDI portal
Publication:1297909
DOI10.1007/s007800050052zbMath0924.90007OpenAlexW1975761536MaRDI QIDQ1297909
S. G. Kou, Paul Glasserman, Mark N. Broadie
Publication date: 14 September 1999
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050052
Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)
Related Items
Exotic options under Lévy models: an overview, Contingent claims on assets with conversion costs., PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE, A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options, A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options, PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options, Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes, Highs and lows: Some properties of the extremes of a diffusion and applications in finance, Using forward Monte-Carlo simulation for the valuation of American barrier options, Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process, A comprehensive mathematical approach to exotic option pricing, Zooming in on a Lévy process at its supremum, Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model, Pricing Discrete European Barrier Options Using Lattice Random Walks, Exercise Regions And Efficient Valuation Of American Lookback Options, Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes, Geometrically Convergent Simulation of the Extrema of Lévy Processes, An exact subexponential-time lattice algorithm for Asian options, Lookback options and dynamic fund protection under multiscale stochastic volatility, Lookback option pricing for regime-switching jump diffusion models, Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach, A general approach for lookback option pricing under Markov models, Improving Brownian approximations for boundary crossing problems, Continuity correction: on the pricing of discrete double barrier options, Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets, Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid, Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain, Using the continuous price as control variate for discretely monitored options, LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II: PATH-DEPENDENT CONTINGENT CLAIMS, Robust barrier option pricing by frame projection under exponential Lévy dynamics, LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES, THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY, A moment expansion approach to option pricing, Prices and sensitivities of Asian options: A survey, THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING, Discrete approximation of finite-horizon American-style options, Chapman-Kolmogorov lattice method for derivatives pricing, Pricing barrier options in the Heston model using the Heath-Platen estimator, Pricing Discrete Dynamic Fund Protections, Dynamic Fund Protection, Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms, Pricing financial claims contingent upon an underlying asset monitored at discrete times, Computing exponential moments of the discrete maximum of a Lévy process and lookback options, Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models, Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models, Option pricing, maturity randomization and distributed computing, Hedging in an illiquid binomial market, Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result, Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes, Accurate and efficient lattice algorithms for American-style Asian options with range bounds, Rate of convergence of option prices by using the method of pseudomoments, Analysis of quadrature methods for pricing discrete barrier options, Explainable neural network for pricing and universal static hedging of contingent claims, Double knock-out Asian barrier options which widen or contract as they approach maturity, Barrier option pricing: a hybrid method approach, On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process, Connecting discrete and continuous lookback or hindsight options in exponential Lévy models, LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL, Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models, Lookback option pricing using the Fourier transform B-spline method, PDE methods for pricing barrier options, Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes, An efficient convergent lattice algorithm for European Asian options, Pricing and exercising American options: an asymptotic expansion approach, Pricing Israeli options: a pathwise approach, Z-Transform and preconditioning techniques for option pricing, A simple and efficient numerical method for pricing discretely monitored early-exercise options, The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process, Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
Uses Software
