Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Mark S. Joshi, Terence S. Leung
Abstract
ABSTRACT
The problem of pricing a continuous barrier option in a jump-diffusion model is studied. It is shown via an effective combination of importance sampling and analytic formulas that substantial speed ups can be achieved. These techniques are shown to be particularly effective for computing deltas.
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