Download This PaperUsing Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options
15 Pages Posted: 12 Jun 2006
Date Written: October 1, 2005
Abstract
The problem of pricing a continuous barrier option in a jump-diffusion model is studied. It is shown that via an effective combination of importance sampling and analytic formulas thatsubstantial speed ups can be achieved. These techniques are shown to be particularly effective for computing deltas.
Keywords: jump-diffusion, barrier option, Monte Carlo, importance sampling
JEL Classification: C19
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Computing Deltas of Callable Libor Exotics in Forward Libor Models
-
Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
By Christian P. Fries and Mark S. Joshi
-
Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
-
Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-Offs
By Jiun Hong Chan and Mark S. Joshi
-
Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products
By Christian P. Fries and Mark S. Joshi
-
Fast and Robust Monte Carlo Cdo Sensitivities and Their Efficient Object Oriented Implementation
By Marius G. Rott and Christian P. Fries
-
Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
By Jiun Hong Chan and Mark S. Joshi
-
First and Second Order Greeks in the Heston Model
By Jiun Hong Chan, Mark S. Joshi, ...