0
$\begingroup$

There are tons of methods for pricing discrete barrier options in various models?

What is the go-to "classical" method that is most popular?

Hopefully not Monte Carlo (significant accuracy would take ages even with variance reduction since it's path-dependent)....

$\endgroup$
1
$\begingroup$

The ‘classical’ would be PDE based, say Crank Nicolson with Rannacher time marching for local vol based approach, and ADI scheme for Stochastic local vol.

| improve this answer | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.