Pricing Discrete Double-Barrier Options with the Quadrature Method
Date Issued
2005
Date
2005
Author(s)
Tzuai, Shao-Huai
DOI
en-US
Abstract
This thesis develops a fast and accurate quadrature method for pricing discrete double-barrier options. In this method, discrete barrier options are valued with only one time step between observations, resulting in significant improvement in speed. Accuracy is greatly enhanced by allowing nodes to be placed exactly on the barriers. Finally, the flexibility of the method makes it capable of dealing with additional features, such as moving barrier or even when the initial price is very close to the barrier (the so-called barrier-too-close problem). All these merits make the method an important addition to the existing tools.
Subjects
數值積分
選擇權評價
數值方法
障礙選擇權
Quadrature
Option valuation
Numerical techniques
Barrier options
Type
thesis