Robust barrier option pricing by frame projection under exponential Lévy dynamics

Applied Mathematical Finance ◽

10.1080/1350486x.2017.1384701 ◽

2017 ◽

Vol 24 (4) ◽

pp. 337-386 ◽

Author(s):

J. Lars Kirkby

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Barrier Option Pricing

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Window Barrier Option Pricing with the Hybrid Stochastic-Local Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.2356816 ◽

2013 ◽

Author(s):

Yu Tian ◽

Zili Zhu ◽

Geoffrey Lee ◽

Thomas Lo ◽

Fima Klebaner ◽

...

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Local Volatility ◽

Local Volatility Model ◽

Volatility Model ◽

Barrier Option Pricing ◽

Stochastic Local Volatility

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High-order accurate implicit methods for barrier option pricing

Applied Mathematics and Computation ◽

10.1016/j.amc.2011.07.037 ◽

2011 ◽

Vol 218 (5) ◽

pp. 2210-2224 ◽

Author(s):

J.C. Ndogmo ◽

D.B. Ntwiga

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Implicit Methods ◽

Barrier Option Pricing

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An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing

Intelligent Information Management ◽

10.4236/iim.2012.43014 ◽

2012 ◽

Vol 04 (03) ◽

pp. 89-93 ◽

Author(s):

Deng Ding ◽

Zuoqiu Weng ◽

Jingya Zhao

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Barrier Option Pricing

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Conditional Sampling for Barrier Option Pricing Under the Heston Model

Monte Carlo and Quasi-Monte Carlo Methods 2012 - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-642-41095-6_9 ◽

2013 ◽

pp. 253-269 ◽

Author(s):

Nico Achtsis ◽

Ronald Cools ◽

Dirk Nuyens

Keyword(s):

Option Pricing ◽

Heston Model ◽

Conditional Sampling ◽

Barrier Option ◽

Barrier Option Pricing

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Integral approach to Asian barrier option pricing

10.1063/1.5114486 ◽

2019 ◽

Author(s):

A. Aimi ◽

L. Diazzi ◽

C. Guardasoni

Keyword(s):

Option Pricing ◽

Integral Approach ◽

Barrier Option ◽

Barrier Option Pricing

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Barrier option pricing for assets with Markov-modulated dividends

The Journal of Computational Finance ◽

10.21314/jcf.2006.151 ◽

2006 ◽

Vol 9 (4) ◽

pp. 75-87 ◽

Author(s):

Giuseppe Di Graziano ◽

L. C. G. Rogers

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Markov Modulated ◽

Barrier Option Pricing

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Barrier Option Pricing with Model Averaging Methods under Local Volatility Models

Industrial Engineering & Management Systems ◽

10.7232/iems.2011.10.1.084 ◽

2011 ◽

Vol 10 (1) ◽

pp. 84-94 ◽

Author(s):

Nam-Hyoung Kim ◽

Kyu-Hwan Jung ◽

Jae-Wook Lee ◽

Gyu-Sik Han

Keyword(s):

Option Pricing ◽

Model Averaging ◽

Barrier Option ◽

Local Volatility ◽

Averaging Methods ◽

Volatility Models ◽

Barrier Option Pricing

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American Barrier Option Pricing Formulas for Stock Model in Uncertain Environment

IEEE Access ◽

10.1109/access.2019.2928029 ◽

2019 ◽

Vol 7 ◽

pp. 97846-97856 ◽

Author(s):

Rong Gao ◽

Kaixiang Liu ◽

Zhiguo Li ◽

Rongjie Lv

Keyword(s):

Option Pricing ◽

Barrier Option ◽

Uncertain Environment ◽

Stock Model ◽

Barrier Option Pricing

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Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

The Journal of Derivatives ◽

10.3905/jod.2010.2010.1.003 ◽

2010 ◽

pp. 100205042929068

Author(s):

Sheldon M. Ross ◽

Samim Ghamami

Keyword(s):

Monte Carlo ◽

Diffusion Process ◽

Option Pricing ◽

Jump Diffusion ◽

Barrier Option ◽

Jump Diffusion Process ◽

Security Price ◽

Barrier Option Pricing

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Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem

The Journal of Derivatives ◽

10.3905/jod.1998.407999 ◽

1998 ◽

Vol 5 (3) ◽

pp. 68-79 ◽

Author(s):

Yuh-Dauh Lyuu

Keyword(s):

Option Pricing ◽

Fast Algorithms ◽

Barrier Option ◽

Ballot Problem ◽

Barrier Option Pricing

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