In this article, I will review some option pricing approximations that can be useful to verify the results given by the pricer you just implemented or to answer some interview questions. Here are the points I am going to tackle : Basic At-The-Money option approximation Examples Other approximations Negative volatility ?? Basic ATM approximation The … Continue reading Useful option pricing approximations

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# Barrier option pricing with Monte Carlo

In this short article, I will apply Monte Carlo to barrier option pricing. Here are the points I am going to tackle: Quicker barrier options reminder Pros and cons of Monte Carlo for pricing Steps for Monte Carlo Pricing Up-and-Out Call pricing example Conclusion and ideas for better performance Barrier options Before entering in pricing … Continue reading Barrier option pricing with Monte Carlo