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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options

Xie, Fei; He, Zhijian; Wang, Xiaoqun - In: European journal of operational research : EJOR 274 (2019) 2, pp. 759-772

Persistent link: https://www.econbiz.de/10011990222

An accumulator pricing method based on Fourier cosine series expansions

Ding, Deng; Wang, Wenfei - In: International journal of financial engineering 2 (2015) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011333433

Pricing Discrete Barrier Options Under Stochastic Volatility

Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific Financial Markets 19 (2012) 3, pp. 205-232

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 pricing barrier options with...

Persistent link: https://www.econbiz.de/10010989079