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168 views

Barrier option : Monte carlo simulation

I am trying to price a Down-and-Out Call using Monte Carlo simulation. The problem is that I get the right price for the vanilla option (same price as the analytic formula of Black and Scholes) but I ...
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0answers
55 views

Range options in BS

I know how barrier options are priced in Black-Scholes scheme. I'm wondering if an analytical formula exists also for range (corridor) digital options i.e. options paying only if the price remains ...
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2answers
157 views

Importance sampling for barrier option like pricing by Monte carlo

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing. Please could someone help me leaving some references? If ...
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0answers
297 views

Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)

I posted this question before on MSE I need to use it in a small step in the middle of a simulation and I think I'm not getting correct results to this probabilities and so for my all ...
2
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2answers
254 views

Valuation of barrier options in Jump diffusion model

I am trying to evaluate the value of a Barrier option using Monte carlo method. The stock follows a jump diffusion model. I am using the method described in Metwally and Atiya. The authors describe ...
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0answers
106 views

Simple way to get the crossing probabilities of a moving barrier

Hello Quant Finance StackExchange, Is there a simple way to find the crossing probabilities of a moving barrier, namely a barrier written in the form $U(t)=\alpha_1t^2 + \beta_1t + \gamma_1$ and ...