A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model

2019 ◽  
Vol 55 (1) ◽  
pp. 119-141 ◽  
Author(s):  
Ahmad Golbabai ◽  
Omid Nikan
Keyword(s):  
Least Squares ◽  
Computational Method ◽  
Moving Least Squares ◽  
Barrier Options ◽  
Double Barrier ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Least Squares Approach

scholarly journals DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS

2013 ◽  
Vol 16 (08) ◽  
pp. 1350044 ◽  
Author(s):  
SÜHAN ALTAY ◽  
STEFAN GERHOLD ◽  
RAINER HAIDINGER ◽  
KARIN HIRHAGER
Keyword(s):  
Arbitrary Number ◽  
Barrier Options ◽  
Time Intervals ◽  
Double Barrier ◽  
Black Scholes Model ◽  
Black Scholes

We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

scholarly journals Quanto Pricing beyond Black–Scholes

2021 ◽  
Vol 14 (3) ◽  
pp. 136
Author(s):  
Holger Fink ◽  
Stefan Mittnik
Keyword(s):  
Option Pricing ◽  
Goodness Of Fit ◽  
Calibration Procedure ◽  
Barrier Options ◽  
Pricing Models ◽  
Modeling Framework ◽  
Double Barrier ◽  
Parameter Stability ◽  
Comprehensive Data ◽  
Black Scholes

Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so far, due to the lack of comprehensive data records of exchange-traded quanto transactions. To overcome this, we make use of exchange-traded structured products. After deriving prices for composite options in the existing modeling framework, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of fit for plain vanilla and exotic double-barrier options.

scholarly journals Pricing Exotic Options Using Some Lattice Procedures

2021 ◽  
Vol 41 (1) ◽  
pp. 26-40
Author(s):  
Sadia Anjum Jumana ◽  
ABM Shahadat Hossain
Keyword(s):  
Stock Price ◽  
Lattice Models ◽  
Exotic Options ◽  
Barrier Options ◽  
Tree Model ◽  
Binomial Tree ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Binomial Tree Model ◽  
Trinomial Tree Model

In this work, we discuss some very simple and extremely efficient lattice models, namely, Binomial tree model (BTM) and Trinomial tree model (TTM) for valuing some types of exotic barrier options in details. For both these models, we consider the concept of random walks in the simulation of the path which is followed by the underlying stock price. Our main objective is to estimate the value of barrier options by using BTM and TTM for different time steps and compare these with the exact values obtained by the benchmark Black-Scholes model (BSM). Moreover, we analyze the convergence of these lattice models for these exotic options. All the results have been shown numerically as well as graphically. GANITJ. Bangladesh Math. Soc.41.1 (2021) 26-40

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