We develop a conditional sampling scheme for pricing knock-out barrier options under the
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …

We present efficient simulation procedures for pricing barrier options when the underlying
security price follows a geometric Brownian motion with jumps. Metwally and Atiya [2002] …

We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier
options under the Heston (Rev Financ Stud 6 (2): 327–343, 1993) stochastic volatility model …

Sequential Monte Carlo (SMC) methods have successfully been used in many applications
in engineering, statistics and physics. However, these are seldom used in financial option …

In this paper we develop simulation techniques in order to evaluate single and double
barrier options with general features. Our method is based on Sharp Large Deviation …

Binomial and trinomial lattices are popular techniques for pricing financial options. These
methods work well for European and American options, but for barrier options, the need to …

Barrier options are cheaper than standard vanilla options, because a zero payoff may occur
before expiry. They may match risk hedging needs more closely than ordinary options …

This paper adapts the hybrid method, a combination of the Laplace transformation and the
finite-difference approach, to the pricing of barrier-style options. The hybrid method …

A new Monte Carlo method is presented to compute the prices of barrier options on stocks.
The key idea of the new method is to use an exit probability and uniformly distributed …

In this paper, we apply an improved version of Monte Carlo methods to pricing barrier
options. This kind of options may match with risk hedging needs more closely than standard …