A functional approach to pricing complex barrier options

Mazzoni, Thomas GND

A new method for pricing contingent claims, which is particularly well suited for options with complex barrier and volatility structures, is introduced. The approach is based on a high precision approximation of the Feynman-Kac-equation with distributed approximating functionals (DAFs). The method under consideration is most elegant from a computational point of view, and it is shown to be faster and more accurate than conventional solution schemes

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Mazzoni, Thomas: A functional approach to pricing complex barrier options. Hagen 2011. FernUniversität in Hagen.

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