Pricing of barrier options by marginal functional quantization
نویسندگان
چکیده
منابع مشابه
Pricing of barrier options by marginal functional quantization
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter using quadratic optimal functional quantization. Some numerical tests are fulfilled in the Black-Scholes model and in a local volatility model and a compari...
متن کاملNumerical aspects of quadratic functional quantization: pricing Asian options
We investigate in this paper some numerical aspects of quadratic functional quantization of Gaussian processes, especially, the Brownian motion (and the Brownian bridge). We illustrate the numerical efficiency of functional quantization on the Asian option pricing in a Black & Scholes model.
متن کاملOn Pricing of Discrete Barrier Options
A barrier option is a derivative contract that is activated or extinguished when the price of the underlying asset crosses a certain level. Most models assume continuous monitoring of the barrier. However, in practice, most, if not all, of the barrier options traded are discretely monitored. Unlike their continuous counterparts, there is essentially no closed form solution available, and even n...
متن کاملBarrier options pricing of fractional version of the Black-Scholes model
In this paper two different methods are presented to approximate the solution of the fractional Black-Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional differential transform method and decomposition method that will extend the appli...
متن کاملOn 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 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: Monte Carlo Methods and Applications
سال: 2011
ISSN: 1569-3961,0929-9629
DOI: 10.1515/mcma.2011.015