文章基本信息

标题：A Sequential Monte Carlo Approach for the pricing of barrier option in a Stochastic Volatility Model
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作者：Salvatore Cuomo ; Vittorio Di Somma ; Emilia di Lorenzo 等
期刊名称：Electronic Journal of Applied Statistical Analysis
电子版ISSN：2070-5948
出版年度：2020
卷号：13
期号：1
页码：128-145
DOI：10.1285/i20705948v13n1p128
出版社：University of Salento
摘要：In this paper we propose a numerical scheme to estimate the price of a barrier option in a general framework. More precisely, we extend a classical Sequential Monte Carlo approach, developed under the hypothesis of deterministic volatility, to Stochastic Volatility models, in order to improve the efficiency of Standard Monte Carlo techniques in the case of barrier options whose underlying approaches the barriers. The paper concludes with the application of our procedure to two case studies in a SABR model.
关键词：Barrier Options;Stochastic Volatility;Sequential Monte Carlo methods;Bayesian re-sampling techniques;SABR model