CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

被引：67

作者：

Mijatovic, Aleksandar ^{[1
]}

Pistorius, Martijn ^{[2
]}

机构：

[1] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England

[2] Univ London Imperial Coll Sci Technol & Med, London SW7 2AZ, England

来源：

MATHEMATICAL FINANCE | 2013年 / 23卷 / 01期

基金：

英国工程与自然科学研究理事会;

关键词：

pricing algorithms; barrier options; continuous-time Markov chain; local volatility models with jumps; Levy processes; normal inverse Gaussian process; variance Gamma process; CGMY model; Sato processes; local Levy processes; MODEL; VOLATILITY; PRICES;

D O I：

10.1111/j.1467-9965.2011.00486.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model. We illustrate the method by implementing it for a range of models, including a local Levy process and a local volatility jump-diffusion. We also provide a convergence proof and error estimates for this algorithm.

引用

页码：1 / 38

页数：38

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