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ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs

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  • SERGEI LEVENDORSKIĬ

    (Calico Science Consulting, Austin, TX 78748, USA)

Abstract

We construct a new approximate method for pricing barrier options and CDSs. In many cases, prices of barrier options and CDS of maturities T ≥ 1 years, at the log-distance 0.1 from the barrier and farther, for eight spots, can be calculated adding up 4–16 fairly simple terms, with relative errors of order 5 ⋅ 10−5 and smaller, in 4–12msc.

Suggested Citation

  • Sergei Levendorskiĭ, 2017. "ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-27, August.
    • Handle: RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500339
    DOI: 10.1142/S0219024917500339
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    2. Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
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