scholarly journals Investigation of the barrier options pricing models

2009 ◽  
Vol 50 ◽  
Author(s):  
Rita Palivonaitė ◽  
Eimutis Valakevičius
Keyword(s):  
Option Pricing ◽  
Adaptive Mesh ◽  
Options Pricing ◽  
Barrier Options ◽  
Barrier Option ◽  
Pricing Models ◽  
Black Scholes ◽  
Barrier Option Pricing ◽  
Critical Regions ◽  
Options Pricing Models

In the article three methods of barrier option pricing are analysed and compared: Black–Scholes, trinomial ant adaptive mesh algorithm. Investigation with Lithuanian firm’s stock showed, that to get better results it is offered to adapt higer resolution mesh on critical regions of trinomial tree.

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 Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab® codes)

2018 ◽  
Vol 9 (1) ◽  
pp. 42-67 ◽  
Author(s):  
C. Guardasoni
Keyword(s):  
Analytical Method ◽  
Boundary Integral ◽  
Time Dependent ◽  
Barrier Options ◽  
Barrier Option ◽  
Boundary Integral Methods ◽  
Integral Methods ◽  
Interest Rate Volatility ◽  
Black Scholes ◽  
Barrier Option Pricing

Abstract A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.

scholarly journals Pricing barrier options with discrete dividends

2017 ◽  
Vol 04 (04) ◽  
pp. 1750044
Author(s):  
D. Jason Gibson ◽  
Aaron Wingo
Keyword(s):  
Option Pricing ◽  
Analytic Approach ◽  
Barrier Options ◽  
Barrier Option ◽  
Discrete Dividends ◽  
And Performance ◽  
Barrier Option Pricing

The presence of discrete dividends complicates the derivation and form of pricing formulas even for vanilla options. Existing analytic, numerical, and theoretical approximations provide results of varying quality and performance. Here, we compare the analytic approach, developed and effective for European puts and calls, of Buryak and Guo with the formulas, designed in the context of barrier option pricing, of Dai and Chiu.

scholarly journals An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing

2012 ◽  
Vol 04 (03) ◽  
pp. 89-93 ◽  
Author(s):  
Deng Ding ◽  
Zuoqiu Weng ◽  
Jingya Zhao
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Barrier Option Pricing
Sign in / Sign up

Export Citation Format

Share Document