منابع مشابه
On Pricing Barrier Options with Discrete Monitoring
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in an asymptotic expansion approach. First, the paper derives an asymptotic expansion for generalized Wiener functionals. After it is appl...
متن کاملPricing Barrier Options with Square Root Process
The square root constant elasticity of variance (CEV) process has been paid little attention in previous research on valuation of barrier options. In this paper we derive analytical option pricing formulae of up-and-out options with this process using the eigenfunction expansion technique. We develop an efficient algorithm to compute the eigenvalues where the basis functions in the formulae are...
متن کاملPricing Barrier Options using Monte Carlo Methods
.............................................................................................................................. 1 Acknowledgements ............................................................................................................. 2
متن کاملPricing Double Barrier Options: An Analytical Approach
Double barrier options have become popular instruments in derivative markets. Several papers have already analysed double knock-out call and put options using di erent methods. In a recent paper, Geman and Yor (1996) derive expressions for the Laplace transform of the double barrrier option price. However, they have to resort to numerical inversion of the Laplace transform to obtain option pric...
متن کاملPricing Barrier Options under Local Volatility
We study pricing under the local volatility. Our research is mainly intended for pedagogical purposes. In the first part of our work we study the local volatility modeling. We derive the local volatility formula in terms of the European call prices and in terms of the market implied volatilities. We propose and calibrate to the DAX option data a functional form for the implied volatility which ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3607626