IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v10y2006i1p1-26.html
   My bibliography  Save this item

An exact analytical solution for discrete barrier options

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Xie, Fei & He, Zhijian & Wang, Xiaoqun, 2019. "An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options," European Journal of Operational Research, Elsevier, vol. 274(2), pages 759-772.
  2. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
  3. 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.
  4. Keegan Mendonca & Vasileios E. Kontosakos & Athanasios A. Pantelous & Konstantin M. Zuev, 2018. "Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation," Papers 1803.03364, arXiv.org, revised Mar 2018.
  5. Huang, Min & Luo, Guo, 2022. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Applied Mathematics and Computation, Elsevier, vol. 422(C).
  6. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
  7. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "Pricing Discrete Barrier Options under Stochastic Volatility," CARF F-Series CARF-F-210, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2011.
  8. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
  9. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
  10. Guo Luo & Min Huang, 2025. "An Analytically Modified Finite Difference Scheme for Pricing Discretely Monitored Options," Mathematics, MDPI, vol. 13(2), pages 1-29, January.
  11. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
  12. Sam Howison & Mario Steinberg, 2007. "A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 63-89.
  13. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node," Papers 1712.01060, arXiv.org, revised Feb 2018.
  14. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
  15. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
  16. Roy Cerqueti, 2022. "A new concept of reliability system and applications in finance," Annals of Operations Research, Springer, vol. 312(1), pages 45-64, May.
  17. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
  18. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Fluctuation identities with continuous monitoring and their application to price barrier options," Papers 1712.00077, arXiv.org.
  19. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
  20. Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  21. 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.
  22. Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options," CIRJE F-Series CIRJE-F-696, CIRJE, Faculty of Economics, University of Tokyo.
  23. Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options," CARF F-Series CARF-F-193, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  24. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
  25. Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021. "Sinh-Acceleration For B-Spline Projection With Option Pricing Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
  26. Anna Battauz & Francesco Rotondi, 2024. "Optimal liquidation policies of redeemable shares," Computational Management Science, Springer, vol. 21(2), pages 1-32, December.
  27. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "On Pricing Barrier Options with Discrete Monitoring," CIRJE F-Series CIRJE-F-725, CIRJE, Faculty of Economics, University of Tokyo.
  28. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
  29. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2012. "Pricing Discrete Barrier Options Under Stochastic Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 205-232, September.
  30. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
  31. Min Huang & Guo Luo, 2019. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Papers 1905.13407, arXiv.org, revised Jun 2019.
  32. Rahman Farnoosh & Hamidreza Rezazadeh & Amirhossein Sobhani & M. Hossein Beheshti, 2016. "A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 131-145, June.
  33. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
  34. Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.