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ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs

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  • SERGEI LEVENDORSKIĬ

    (Calico Science Consulting, Austin, TX 78748, USA)

Abstract

We construct a new approximate method for pricing barrier options and CDSs. In many cases, prices of barrier options and CDS of maturities T ≥ 1 years, at the log-distance 0.1 from the barrier and farther, for eight spots, can be calculated adding up 4–16 fairly simple terms, with relative errors of order 5 ⋅ 10−5 and smaller, in 4–12msc.

Suggested Citation

  • Sergei Levendorskiĭ, 2017. "ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-27, August.
    • Handle: RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500339
    DOI: 10.1142/S0219024917500339
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    References listed on IDEAS

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    13. Mitya Boyarchenko & Sergei Levendorskiĭ, 2009. "Prices And Sensitivities Of Barrier And First-Touch Digital Options In Lévy-Driven Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1125-1170.
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    15. Sergei Levendorskiĭ, 2014. "METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(05), pages 1-58.
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    2. Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
    3. Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.

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