Pricing discretely-monitored double barrier options with small probabilities of execution

DOI10.1016/j.ejor.2020.07.044zbMath1487.91139OpenAlexW3044457573MaRDI QIDQ2029343

Keegan Mendonca, Konstantin M. Zuev, Athanasios A. Pantelous, Vasileios E. Kontosakos

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://resolver.caltech.edu/CaltechAUTHORS:20200727-091611276

zbMATH Keywords

simulationdiscrete monitoringrare eventpath-dependent derivativesbarrier options pricing

Mathematics Subject Classification ID

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

Related Items (2)

An accurate and stable numerical method for option hedge parameters ⋮ Pricing American options under Azzalini Ito-McKean skew Brownian motions

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