Analysis of quadrature methods for pricing discrete barrier options

Chapter 8 Discrete Barrier and Lookback Options

“…See Ait-Sahalia and Lai (1997Lai ( , 1998, Sullivan (2000), Tse et al (2001), Andricopoulos et al (2003), and Fusai and Recchioni (2003).…”

Accelerating Quadrature Methods for Option Valuation

“…It has been shown that most of the equity options can be expressed in integral forms and solved by quadrature methods including: European options, discrete barrier options, moving discrete barrier options, Bermudan put options, American call options and lookback options [4,11]. However, the quadrature evaluation procedures are slightly different for different types of options.…”

Pricing financial claims contingent upon an underlying asset monitored at discrete times

“…Consequently, for even relatively few dates, numerical evaluation becomes very inefficient. To overcome the mis-pricing, a wide variety of numerical techniques have been proposed in the literature, including recent noteworthy additions [5][6][7][8][9][10][11][12][13][14][15]. This work is a revision of an article by two of the authors [16] in which an exact analytic expression for the down-out option price was obtained as the solution to the Black-Scholes PDE.…”