PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER

DOI10.1142/S0219024910005978zbMath1233.91279OpenAlexW3122509526MaRDI QIDQ2786033

Mark S. Joshi, Robert L. Tang

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005978

zbMATH Keywords

Monte Carlostratified samplingbarrierfirst-hitting timeinverse Gaussianpassage timeshitting-timesdiscretely-monitored

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
• An exact analytical solution for discrete barrier options
• A Continuity Correction for Discrete Barrier Options
• Conditioning on One-Step Survival for Barrier Option Simulations
• Estimating Security Price Derivatives Using Simulation

This page was built for publication: PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER