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Article: Pricing discrete barrier and hindsight options with the tridiagonal probability algorithm

TitlePricing discrete barrier and hindsight options with the tridiagonal probability algorithm
Authors
KeywordsBrownian Motion
Discrete Barrier Options
Discrete Lookback Options
Multivariate Normal Probability Evaluation Technique
Issue Date2001
PublisherI N F O R M S. The Journal's web site is located at http://mansci.pubs.informs.org
Citation
Management Science, 2001, v. 47 n. 3, p. 383-393 How to Cite?
AbstractThis paper develops an algorithm to calculate the Brownian multivariate normal probability subject to any preset error tolerance criteria. The algorithm is founded upon the computational simplicity of the tridiagonal structure of the inverse of the Brownian correlation matrix. Compared with existing pricing technologies without the "barrier too close" problem, our calculation method can produce a more accurate and efficient analytic evaluation of barrier options monitored at discrete instants with well-or ill-behaved barrier levels, or discrete hindsight options, for a reasonably large number of monitorings.
Persistent Identifierhttp://hdl.handle.net/10722/82749
ISSN
2015 Impact Factor: 2.741
2015 SCImago Journal Rankings: 4.384
References

 

DC FieldValueLanguage
dc.contributor.authorTse, WMen_HK
dc.contributor.authorLi, LKen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:32:58Z-
dc.date.available2010-09-06T08:32:58Z-
dc.date.issued2001en_HK
dc.identifier.citationManagement Science, 2001, v. 47 n. 3, p. 383-393en_HK
dc.identifier.issn0025-1909en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82749-
dc.description.abstractThis paper develops an algorithm to calculate the Brownian multivariate normal probability subject to any preset error tolerance criteria. The algorithm is founded upon the computational simplicity of the tridiagonal structure of the inverse of the Brownian correlation matrix. Compared with existing pricing technologies without the "barrier too close" problem, our calculation method can produce a more accurate and efficient analytic evaluation of barrier options monitored at discrete instants with well-or ill-behaved barrier levels, or discrete hindsight options, for a reasonably large number of monitorings.en_HK
dc.languageengen_HK
dc.publisherI N F O R M S. The Journal's web site is located at http://mansci.pubs.informs.orgen_HK
dc.relation.ispartofManagement Scienceen_HK
dc.subjectBrownian Motionen_HK
dc.subjectDiscrete Barrier Optionsen_HK
dc.subjectDiscrete Lookback Optionsen_HK
dc.subjectMultivariate Normal Probability Evaluation Techniqueen_HK
dc.titlePricing discrete barrier and hindsight options with the tridiagonal probability algorithmen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0025-1909&volume=47&issue=3&spage=383&epage=393&date=2001&atitle=Pricing+discrete+barrier+and+hindsight+options+with+the+tridiagonal+probability+algorithmen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0035295089en_HK
dc.identifier.hkuros72439en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0035295089&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume47en_HK
dc.identifier.issue3en_HK
dc.identifier.spage383en_HK
dc.identifier.epage393en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridTse, WM=8834200400en_HK
dc.identifier.scopusauthoridLi, LK=7501447410en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

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