A functional approach to pricing complex barrier options

Thomas Mazzoni

The European Journal of Finance, 2014, vol. 20, issue 5, 399-418

Abstract: In this article, a new method for pricing contingent claims, which is particularly well suited for options with complex barrier and volatility structures, is introduced. The approach is based on a high-precision approximation of the Feynman-Kac equation with distributed approximating functionals. The method is particularly well suited for long maturity valuation problems, and it is shown to be faster and more accurate than conventional solution schemes.

Date: 2014
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DOI: 10.1080/1351847X.2012.713174

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