Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

In this paper we develop simulation techniques in order to evaluate single and double barrier options with general features. Our method is based on Sharp Large Deviation estimates, which allow one to improve the usual Monte Carlo procedure. Numerical results are provided and show the validity of the proposed simulation algorithm. Copyright Blackwell Publishers Inc 1999.

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Year of publication:	1999
Authors:	Baldi, Paolo ; Caramellino, Lucia ; Iovino, Maria Gabriella
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 9.1999, 4, p. 293-321
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008609868