Numerical method of pricing discretely monitored barrier option

DOI10.1016/j.cam.2014.08.022zbMath1299.91167OpenAlexW2060075039MaRDI QIDQ475657

Tianguo Li, Sungchul Lee, Yicheng Hong

Publication date: 27 November 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.08.022

zbMATH Keywords

option pricingbarrier optionrecombining tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Related Items (4)

Numerical method for pricing discretely monitored double barrier option by orthogonal projection method ⋮ Fast quadrature methods for options with discrete dividends ⋮ A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model

Cites Work

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• Numerical valuation of discrete double barrier options
• Laplace transform and finite difference methods for the Black-Scholes equation
• Pricing double barrier options using Laplace transforms
• Implementing models in quantitative finance: methods and cases
• An exact analytical solution for discrete barrier options
• A Continuity Correction for Discrete Barrier Options
• A Closed-Form Formula for an Option with Discrete and Continuous Barriers
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹

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