Pricing of barrier options by marginal functional quantization

Abass Sagna
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Abass Sagna: LAP

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Abstract: This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter using quadratic optimal functional quantization. Some numerical tests are fulfilled in the Black-Scholes model and in a local volatility model and a comparison to the so called Brownian Bridge method is also done.

Date: 2010-12
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1012.1037

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