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An explicit finite difference approach to the pricing of barrier options

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References

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Cited by

2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options83 cited
2006Analysis of quadrature methods for pricing discrete barrier options61 cited
2006On smoothing of the Crank–Nicolson scheme and higher order schemes for pricing barrier options58 cited
2003Pricing Discretely Monitored Barrier Options by a Markov Chain58 cited
2001

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Pricing Algorithms for Options with Exotic Path-Dependence

43 cited

2003Negative coefficients in two-factor option pricing models42 cited

2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method40 cited

2013On pricing barrier options with regime switching40 cited

2009Option Pricing in a Jump-Diffusion Model with Regime Switching37 cited

2009Advanced Monte Carlo Methods for Barrier and Related Exotic Options37 cited

2018A Mellin transform approach to barrier option pricing35 cited

2013A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options34 cited

2007Chapter 8 Discrete Barrier and Lookback Options32 cited

2016Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes24 cited

2001Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm24 cited

2015Numerical method for discrete double barrier option pricing with time-dependent parameters23 cited