Pricing Double Barrier Options
Pricing of Double Barrier Options by Spectral Theory
... 3 Pricing Double Barrier Options The value of a Knock-out down and out Call or Put options is given by the solution of the Black-Scholes equation with boundary ...
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Efficient tree methods for pricing digital barrier options
... the barrier L is a node at maturity and the strike K is a node from the penultimate ...for pricing double barrier options: in this case we just need to setup the mesh between the ...
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Pricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution
... A barrier option is among the most actively-traded path–dependent financial deriva- tives whose payoff depends on whether the underlying asset has reached or exceeded a predetermined price during the option’s ...
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Pricing Barrier Options under Local Volatility
... study pricing under the local ...simplifies pricing under the local ...analyze pricing of vanilla and double barrier options under the local ...the pricing problem, we ...
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Robust hedging of double touch barrier options
... model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower ...call options with the same maturity and all strikes are ...relevant options, ...
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Robust hedging of double touch barrier options
... of Double Touch Barrier Options ∗ ...robust pricing of digital options, which pay out if the underlying asset has crossed both upper and lower ...call options with the same ...
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Numerical valuation of discrete double barrier options
... option pricing, [ 1 ...for barrier options, [ 2 ...one barrier applied continuously are presented in [ 3 ...standard double barrier options, and in many non-trivial cases ...
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Efficient pricing of barrier options with the variance gamma model
... for pricing barrier options with the variance gamma model (Madan, Carr, and Chang ...the double-gamma bridge sampling algorithm of Avramidis, L’Ecuyer, and Tremblay (2003), we develop ...
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Pricing Discrete Barrier Options under Stochastic Volatility
... for pricing discrete barrier options under general stochastic volatility ...to pricing path-dependent derivatives with discrete monitoring under stochastic volatility environment and derives a ...
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Robust hedging of digital double touch barrier options
... digital double touch barrier option by model-free ...digital double touch barrier option struck at (b, b) as an ...digital double barrier option is a financial derivative which ...
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Double Barrier Hitting Time Distribution of a Mean-reverting Lognormal Process and Its Application to Pricing Exotic Options
... the double barrier hitting time distribution of a mean-reverting lognormal process, and discuss its application to pricing exotic options whose payoffs are contingent upon barrier ...
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A Probabilistic Monte Carlo model for pricing discrete barrier options
... asset pricing models based on Lévy ...for barrier options of European type and touch- and-out options assuming that under a chosen equivalent martingale measure the stock returns follow a Lévy ...
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Fourier transform methods for the pricing of barrier options and other exotic derivatives
... particular, barrier options are one of the most traded exotic derivatives in the forex ...single-barrier options are down-and-out, up-and-out, down-and-in and ...single-barrier ...
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The binomial interpolated lattice method fro step double barrier options
... The pricing of European or American continuous double barrier options can be done by backward dynamic programming procedure using this bino-trinomial mesh ...“near barrier” ...
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Pricing Discrete Barrier Options
... Biases in Pricing Continuously Monitored Options with Monte Carlo (continued).. • If all of the sampled prices are below the barrier, this sample path pays max(S(t n ) − X, 0).[r] ...
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Valuation of Barrier Options with the Binomial Pricing Model
... 26 1. Introduction In the last years, the interest rate has reached historic low levels. As a consequence, the investment habits have changed and investors are interested in new and more profitable products. For this ...
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A Boundary Element Formulation for the Pricing of Barrier Options
... ABSTRACT In this article, we derive a boundary element formulation for the pricing of barrier option. The price of a barrier option is modeled as the solution of Black-Scholes’ equation. Then the ...
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Pricing Barrier Options in Foreign Exchange Market
... the barrier 10% below the spot, which is ...each options to form the static hedging portfolio of the down-and-out ...the barrier throughout the life of the ...
On an Alternative Approach to Pricing General Barrier Options
... to pricing barrier options is presented that relies on the use of the first hitting time density to the ...for pricing barrier options with more general payoffs and with general ...
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"A Semi-group Expansion for Pricing Barrier Options"
... This paper develops a rigorous asymptotic expansion method with its numerical scheme for the Cauchy-Dirichlet problem in second order parabolic partial differential equations (PDEs). As an application, we propose a new ...
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