A functional approach to pricing complex barrier options
In this article, a new method for pricing contingent claims, which is particularly well suited for options with complex barrier and volatility structures, is introduced. The approach is based on a high-precision approximation of the <italic>Feynman-Kac</italic> equation with distributed approximating functionals. The method is particularly well suited for long maturity valuation problems, and it is shown to be faster and more accurate than conventional solution schemes.
Year of publication: |
2014
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Authors: | Mazzoni, Thomas |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 20.2014, 5, p. 399-418
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Publisher: |
Taylor & Francis Journals |
Saved in:
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