Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps

DOI10.1080/00207160.2016.1210796zbMath1416.91406OpenAlexW2470652588MaRDI QIDQ3174919

Junhao Geng, Su-Mei Zhang

Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1210796

zbMATH Keywords

Monte Carlostochastic volatilityoption pricingjump-diffusionbarrier options

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
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Exact simulation of jump-diffusion processes with Monte Carlo applications
• Efficient simulation of a multi-factor stochastic volatility model
• Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
• EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS
• Weak Convergence Methods for Approximation of the Evaluation of Path-Dependent Functionals
• Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous