This service is more advanced with JavaScript available, learn more at http: Journal of Asset Management. Most of traded double barrier options are monitored in discrete time, their pricing being more challenging than in continuous time.

A few solutions are analytical with a correction for continuity; the remaining solutions are numerical with lattices, grids or Monte Carlo MC simulation. We apply an original variance reduction technique to the pricing of European double barrier options monitored in discrete time. This technique speeds up significantly the MC simulation. The computational algorithm repeats each experiment with an increasing number of trials at a logarithmic rate and calculates a weighted average of the options values.

We show that the Login model accurately prices double barrier options. Market participants in need of selecting a reliable numerical method for pricing double barrier options monitored in discrete time will find our article appealing. Moreover, the idea behind the method is simple and can be applied to the pricing of plain-vanilla or more complex derivatives, easing and speeding the valuation step significantly. He holds a PhD in Administration from the University of Quebec, Canada.

His major areas of research are numerical methods applied to derivatives and yield curve forecasting. As Associate Professor at the American University in Cairo, Egypt, he teaches courses in the area of financial markets. She holds a Master 2 in Management from the University of Nantes, France.

Her major topics of research focus on derivative products.

His research interests focus on the problems of measurement errors, specification errors and endogeneity in financial models of returns. He is also interested in developing new methods for forecasting financial time series, especially with regard to hedge fund risk. He has virtual families 2 making more money several books and many articles on quantitative finance and financial econometrics.

Part of Springer Nature. Not logged in Not affiliated Pricing discrete double barrier options with a numerical method. Original Article First Online: Cite this article as: J Asset Manag Journal of Derivatives 6 jobs to earn money for gap year USSR Computational Mathematics and Mathematical Physics numerical valuation of discrete double barrier options 1: Transactions of the American Mathematical Society 49 1: A Monte Carlo approach.

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Numerical valuation of discrete double barrier options | Mariyan Milev - obupexeh.web.fc2.com

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IIE Transactions 40 5: The Florida State University, Tallahassee, FL, U. Asia-Pacific Financial Markets 19 3: Preprint IPM Akademii Nauk SSSR, USSR Computational Mathematics and Mathematical Physics 16 5: ACM Transactions on Modeling and Computer Simulation 3 2: Journal of Transactions on Reconfigurable Technology and Systems 3 4: Journal of Portfolio Management 22 1: Journal of Computational and Applied Mathematics 1: Management Science 25 7: International Journal of Computer Mathematics 86 6: Department of Management American University in Cairo New Cairo Egypt.

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