Pricing general barrier options: A numerical approach using Sharp Large Deviations

被引：36

作者：

Baldi, P

Caramellino, L

Iovino, MG

机构：

[1] Univ Perugia, Ist Matemat Finanziaria, I-06100 Perugia, Italy

[2] Univ Roma Tor Vergata, Rome, Italy

[3] Univ Rome Tre, Rome, Italy

来源：

MATHEMATICAL FINANCE | 1999年 / 9卷 / 04期

关键词：

barrier options; Sharp Large Deviations; Monte Carlo methods;

D O I：

10.1111/1467-9965.t01-1-00071

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we develop simulation techniques in order to evaluate single and double barrier options with general features. Our method is based on Sharp Large Deviation estimates, which allow one to improve the usual Monte Carlo procedure. Numerical results are provided and show the validity of the proposed simulation algorithm.

引用

页码：293 / 321

页数：29

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