Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema

Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum. II

“…The main source of difficulties is the qualitatively different behavior of prices of barrier options in pure jump Lévy models, probability distributions of XT in particular. See [26] for numerical examples of errors stemming from the application of the method [1] to pricing barrier options, [5,33,3,28] for asymptotic formulas for prices of barrier options as the underlying approaches the barrier, and [12,13,11,15,16] for numerical examples that illustrate the asymptotic results. Therefore, it is important to develop methods which allow for an efficient error control.…”