Name
Title | ||
|---|---|---|
Pricing discretely-monitored double barrier options with small probabilities of execution |
Abstract | ||
|---|---|---|
•We offer a model-free simulation framework for pricing discrete-time barrier options.•We focus on barrier options with small execution probability (rare events).•We estimate the options probability of execution.•Upper bounds are derived for the MSE of the option price estimate and its computational cost.•The proposed method is compared with other Monte-Carlo based methods. |
Year | DOI | Venue |
|---|---|---|
2021 | 10.1016/j.ejor.2020.07.044 | European Journal of Operational Research |
Keywords | DocType | Volume |
Simulation,Barrier options pricing,Rare event,Path–dependent derivatives,Discrete monitoring | Journal | 290 |
Issue | ISSN | Citations |
1 | 0377-2217 | 0 |
PageRank | References | Authors |
0.34 | 0 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Vasileios E. Kontosakos | 1 | 0 | 0.34 |
| Keegan Mendonca | 2 | 0 | 0.34 |
| Athanasios A. Pantelous | 3 | 39 | 17.25 |
| Konstantin Zuev | 4 | 13 | 2.09 |