JOSHI, MARK; TANG, ROBERT - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 717-750
We develop new Monte Carlo techniques based on stratifying the stock's hitting-times to the barrier for the pricing and Delta calculations of discretely-monitored barrier options using the Black-Scholes model. We include a new algorithm for sampling an Inverse Gaussian random variable such that...