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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options

Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: European journal of operational research : EJOR 271 (2018) 1, pp. 210-223

Persistent link: https://www.econbiz.de/10011882800

Method of paired contours and pricing barrier options and CDSs of long maturities

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58

Persistent link: https://www.econbiz.de/10010437194

Pricing discrete path-dependent options under a double exponential jump-diffusion model

Fuh, Cheng-der; Luo, Sheng-feng; Yen, Ju-fang - In: Journal of banking & finance 37 (2013) 8, pp. 2702-2713

Persistent link: https://www.econbiz.de/10009776395

First and second generation lookback and barrier options : enhancing pricing accuracy through Conditional Monte Carlo

Giribone, Pier Giuseppe; Tropiano, Federico - In: Risk management magazine 19 (2024) 3, pp. 4-27

This paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced by Babsiri and Noel in 1998. Path dependent...

Persistent link: https://www.econbiz.de/10015371430

A general approach for lookback option pricing under Markov models

Zhang, Gongqiu; Li, Lingfei - In: Quantitative finance 23 (2023) 9, pp. 1305-1324

Persistent link: https://www.econbiz.de/10014339927

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

Multilevel Monte Carlo for exponential Lévy models

Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026

Persistent link: https://www.econbiz.de/10011944462

Semi-analytical prices for lookback and barrier options under the Heston model

De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741

Persistent link: https://www.econbiz.de/10012127317

Ultra-fast pricing barrier options and CDSs

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10011734044