Search Results - subject:"Discrete Barrier Options"

Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183

Persistent link: https://www.econbiz.de/10011742159

A probabilistic Monte Carlo model for pricing discrete barrier and compound real options

Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 113-126

Persistent link: https://www.econbiz.de/10010462984

Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou

Hörfelt, Per - In: Finance and Stochastics 7 (2003) 2, pp. 231-243

This paper considers the problem of pricing discrete barrier options. A discrete barrier option is a barrier option …

Persistent link: https://www.econbiz.de/10005759613

Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm

Tse, Wai Man; Li, Leong Kwan; Ng, Kai Wang - In: Management Science 47 (2001) 3, pp. 383-393

This paper develops an algorithm to calculate the Brownian multivariate normal probability subject to any preset error tolerance criteria. The algorithm is founded upon the computational simplicity of the tridiagonal structure of the inverse of the Brownian correlation matrix. Compared with...

Persistent link: https://www.econbiz.de/10009198195