Pricing discrete barrier and hindsight options with the tridiagonal probability algorithm

Management Science

Volumn 47, Issue 3, 2001, Pages 383-393

  Tse, Wai Man ^a,b,c   Li, Leong Kwan ^a,b,c   Ng, Kai Wang ^a,b,c  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Brownian Motion; Discrete Barrier Options; Discrete Lookback Options; Multivariate Normal Probability Evaluation Technique

Indexed keywords

ALGORITHMS; COMPUTATION THEORY; DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; OPERATIONS RESEARCH; PROBABILITY;

PROBABILITY ALGORITHMS;

MANAGEMENT SCIENCE;

EID: 0035295089     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.47.3.383.9775     Document Type: Article

References (23)

1. Valuation of discrete barrier and hind-sight options
2. Option valuation using a three-jump process
3. A lattice framework for option pricing with two State variables
4. Bumping up against the barrier with the binomial method
5. An explicit finite difference approach to the pricing of barrier options
6. A continuity correction for discrete barrier options
7. Connecting discrete and continuous path-dependent options
8. Breaking down barriers
9. Option pricing: A simplified approach
10. The numerical evaluation of certain multivariate normal integrals
11. On the computation of the bivariate normal integral
12. Discrete partial barrier options with a moving barrier
13. Pricing options with curved bound-aries
14. Convolution methods for exotic options
15. On pricing barrier options
16. Breaking down the barriers
17. A reduction method applicable to compound option formulas
18. Pricing discrete barrier options with the tridiagonal probability algorithm
19. Valuation of discrete barrier options by interpolations