collaborators

1 paper

q-fin.PR2018

Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation

Keegan Mendonca, Vasileios E. Kontosakos, Athanasios A. Pantelous +1

Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and es…