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Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing
Fast Fourier Transform (FFT) Bermudan Barrier Option CONV Method.
2013/1/28
An efficient and accurate numerical method, which is called the CONV method, was proposed by Lord et al in [1] to price Bermudan options. In this paper, this method is applied to price Bermudan barrie...