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Fast and accurate pricing of discretely monitored barrier options by numerical path integration

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  • Christian Skaug
  • Arvid Naess

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  • Christian Skaug & Arvid Naess, 2007. "Fast and accurate pricing of discretely monitored barrier options by numerical path integration," Computational Economics, Springer;Society for Computational Economics, vol. 30(2), pages 143-151, September.
    • Handle: RePEc:kap:compec:v:30:y:2007:i:2:p:143-151
    DOI: 10.1007/s10614-007-9091-5
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    References listed on IDEAS

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    1. Jin-Chuan Duan & Evan Dudley & Geneviève Gauthier & Jean-Guy Simonato, 1999. "Pricing Discretely Monitored Barrier Options by a Markov Chain," CIRANO Working Papers 99s-15, CIRANO.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349, October.
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    Cited by:

    1. A. Golbabai & L. Ballestra & D. Ahmadian, 2014. "A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 153-173, August.
    2. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet," Papers 1703.09129, arXiv.org, revised Mar 2017.

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