Journal of Computational Finance

Risk.net

Fast and accurate valuation of American barrier options

Farid AitSahlia, Lorens Imhof, Tze Leung Lai

ABSTRACT

This article develops two fast and accurate methods to compute boun daries, prices and hedge parameters of American barrier options. An extensive numerical study that compares these approximations with benchmark values and other methods shows that they are highly accurate and improve the currently available approximations in both speed and accuracy.

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