Pricing Complex Barrier Options with General Features Using Sharp Large Deviation Estimates

Author:

Baldi Paolo,Caramellino Lucia,Iovino Maria Gabriella

Publisher

Springer Berlin Heidelberg

Reference11 articles.

1. Andersen, L., and Brotherton-Ratcliffe, R.: Exact Exotics. Risk 9 (1996) 85 – 89

2. Baldi, P., Caramellino L. and Iovino M.G.: Pricing General Barrier Options: a Numerical Approach Using Sharp Large Deviations. To appear on Mathematical Finance (1998).

3. Beaglehole, D.R.,Dybvig, P.H., and Zhou, G.: Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation. Financial Analysts Journal 53(1997) 62 – 68

4. Black, F. and Scholes, M.: The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81(1973) 637 – 654.

5. Boyle, P.P. and Tian, Y.: Pricing Path-Dependent Options under the CEV process. Working paper (1997).

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