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Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
Paolo Baldi, Lucia Caramellino, Maria Gabriella Iovino
Source record
Source: Crossref
Published: Oct 1, 1999
DOI: 10.1111/1467-9965.t01-1-00071
Open original source ↗Source abstract
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.
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