Pricing discrete double barrier options under Levy processes: An extension of the method by Miley and Tagliani
Pricing discrete double barrier options under Levy processes: An extension of the method by Miley and Tagliani
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Levy 流程下离散双障碍期权的定价：Miley 和 Tagliani 对该方法的扩展
DOI：
10.1016/j.frl.2016.06.004
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发表时间：
2016
影响因子：
10.4
通讯作者：
Ma Shihua
中科院分区：
文献类型：
--
作者：
Xiao Shuang;Ma Shihua
研究了Lévy过程下离散双障碍期权的定价问题。我们首先推导出一个解析定价公式，当监测频率变大时，该公式不再适用。因此，我们提出了一种数值算法，该算法基于Milev和Tagliani（2010）提出的使用离散变量近似连续变量的思想，并利用五点自适应Gauss-Lobatto求积来解决积分问题。该方法适用于所有类型的Lévy过程，其增量的概率密度函数是可用的封闭形式。数值实验证明了该算法的有效性。
We investigate pricing issue of discrete-double barrier options under Lévy processes. We first derive an analytical pricing formula, which is no longer applicable when the monitoring frequency becomes large. Therefore, we present a numerical algorithm based on the idea of using discrete variables to approximate continuous ones initiated by Milev and Tagliani (2010) and utilizing adaptive Gauss–Lobatto quadrature with five points to address the integration problem. The method applies for all types of Lévy processes whose probability density function of the increment is available in closed form. Numerical experiments confirm that our algorithm is both effective and efficient.