Continuity correction: on the pricing of discrete double barrier options. (English) Zbl 1533.91466
MSC:
91G20
Found 70 Documents (Results 1–70)
A general approach for lookback option pricing under Markov models. (English) Zbl 1531.91277
Reviewer: Vassil Grozdanov (Blagoevgrad)
A simple and efficient numerical method for pricing discretely monitored early-exercise options. (English) Zbl 1510.91187
Explainable neural network for pricing and universal static hedging of contingent claims. (English) Zbl 1510.91167
Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms. (English) Zbl 1475.91351
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (English) Zbl 1461.91315
Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid. (English) Zbl 1459.60098
Using forward Monte-Carlo simulation for the valuation of American barrier options. (English) Zbl 1391.91162
Pricing barrier options in the Heston model using the Heath-Platen estimator. (English) Zbl 1408.91232
Robust barrier option pricing by frame projection under exponential Lévy dynamics. (English) Zbl 1398.91672
Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. (English) Zbl 1443.65199
Rate of convergence of option prices for approximations of the geometric Ornstein-Uhlenbeck process by Bernoulli jumps of prices on assets. (English. Ukrainian original) Zbl 1415.91288
Theory Probab. Math. Stat. 93, 137-152 (2016); translation from Teor. Jmovirn. Mat. Stat. 93, 127-141 (2015).
Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model. (English) Zbl 1352.60050
Rate of convergence of option prices by using the method of pseudomoments. (English. Ukrainian original) Zbl 1345.60018
Theory Probab. Math. Stat. 92, 117-133 (2016); translation from Teor. Jmovirn. Mat. Stat. 92, 110-114 (2015).
Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes. (English) Zbl 1338.91151
Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process. (English) Zbl 1332.60049
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. (English) Zbl 1416.60079
PIDE and solution related to pricing of Lévy driven arithmetic type floating Asian options. (English) Zbl 1335.91078
Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes. (English) Zbl 1319.60050
The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process. (English) Zbl 1336.91079
Reviewer: Nikolaos Halidias (Athens)
Closed-form expansions of discretely monitored Asian options in diffusion models. (English) Zbl 1334.60118
Improving Brownian approximations for boundary crossing problems. (English) Zbl 1270.60053
Reviewer: Raouf Ghomrasni (Muizenberg)
Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes. (English) Zbl 1274.60245
Plaskota, Leszek (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2010. Selected papers based on the presentations at the 9th international conference on Monte Carlo and quasi Monte Carlo in scientific computing (MCQMC 2010), Warsaw, Poland, August 15–20, 2010. Berlin: Springer (ISBN 978-3-642-27439-8/hbk; 978-3-642-27440-4/ebook). Springer Proceedings in Mathematics & Statistics 23, 79-93 (2012).
Reviewer: Yuliya S. Mishura (Kyïv)
Using the continuous price as control variate for discretely monitored options. (English) Zbl 1242.91186
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models. (English) Zbl 1235.60049
Reviewer: Zakhar Kabluchko (Ulm)
On the monitoring error of the supremum of a normal jump diffusion process. (English) Zbl 1250.60036
Reviewer: Jan Kallsen (Kiel)
Option pricing, maturity randomization and distributed computing. (English) Zbl 1204.68016
MSC:
68M10
The Wiener-Hopf technique and discretely monitored path-dependent option pricing. (English) Zbl 1211.91233
Reviewer: Klaus Schürger (Bonn)
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. (English) Zbl 1199.60184
Reviewer: Yuliya Mishura (Kyïv)
Barrier option pricing: a hybrid method approach. (English) Zbl 1169.91345
MSC:
91B24
Double knock-out Asian barrier options which widen or contract as they approach maturity. (English) Zbl 1169.91335
MSC:
91B24
Accurate and efficient lattice algorithms for American-style Asian options with range bounds. (English) Zbl 1156.91365
Perpetual Bermudan continuity corrections and a multi-dimensional Wiener-Hopf type result. (English) Zbl 1161.91014
Reviewer: Yuliya S. Mishura (Kyïv)
Prices and sensitivities of Asian options: A survey. (English) Zbl 1141.91421
MSC:
91B28
Pricing financial claims contingent upon an underlying asset monitored at discrete times. (English) Zbl 1134.91419
MSC:
91G20
A matched asymptotic expansions approach to continuity corrections for discretely sampled options. II: Bermudan options. (English) Zbl 1281.91165
MSC:
91G20
A matched asymptotic expansions approach to continuity corrections for discretely sampled options. I: Barrier options. (English) Zbl 1281.91166
MSC:
91G20
Pricing path-dependent options on state dependent volatility models with a Bessel bridge. (English) Zbl 1291.91229
Lookback options and dynamic fund protection under multiscale stochastic volatility. (English) Zbl 1183.91173
MSC:
91G10
An exact subexponential-time lattice algorithm for Asian options. (English) Zbl 1136.91425
MSC:
91B28
Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes. (English) Zbl 1142.91563
Exotic options under Lévy models: an overview. (English) Zbl 1089.91029
MSC:
91B28
91B26
Discrete approximation of finite-horizon American-style options. (English. Russian original) Zbl 1152.91517
Lith. Math. J. 45, No. 4, 424-433 (2005); translation from Liet. Mat. Rink. 45, No. 4, 525-536 (2005).
An efficient convergent lattice algorithm for European Asian options. (English) Zbl 1151.91499
MSC:
91G20
Localized Monte Carlo algorithm to compute prices of path dependent options on trees. (English) Zbl 1102.91046
MSC:
91G60
Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme. (English) Zbl 1070.60071
Exercise regions and efficient valuation of American lookback options. (English) Zbl 1090.91043
MSC:
91B28
Pricing discrete dynamic fund protections. (English) Zbl 1084.91506
MSC:
91B28
62P05
The pricing of exotic options by Monte-Carlo simulationsin a Lévy market with stochastic volatility. (English) Zbl 1079.91042
Pricing discrete European barrier options using lattice random walks. (English) Zbl 1065.91026
MSC:
91B28
Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. (Représentation de Feynman-Kac dans des domaines temps-espace et sensibilité par rapport au domaine.) (French. Abridged English version) Zbl 1033.60076
Reviewer: Dominique Lepingle (Orléans)
MSC:
60H30
Contingent claims on assets with conversion costs. (English) Zbl 1071.91023
Reviewer: Serguei V. Solov’ev (Toulouse)
Highs and lows: some properties of the extremes of a diffusion and applications in finance. (English) Zbl 1183.60030
Local scale invariance and contingent claim pricing. II: Path-dependent contingent claim. (English) Zbl 1153.91510
MSC:
91B28
60H15
Dynamic fund protection. With a discussion by Hans U. Gerber and Elias S. W. Shiu. (English) Zbl 1083.60513
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