摘要翻译：
本文给出了一维马尔可夫模型中障碍期权的定价算法。该方法依赖于构造一个近似连续时间的马尔可夫链，该链紧随给定的马尔可夫模型的动力学。我们通过对一系列模型的实现来说明该方法，包括局部Levy过程和局部波动跳扩散模型。我们还给出了该算法的收敛性证明和误差估计。
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英文标题：
《Continuously monitored barrier options under Markov processes》
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作者：
Aleksandar Mijatovic and Martijn Pistorius
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model. We illustrate the method by implementing it for a range of models, including a local Levy process and a local volatility jump-diffusion. We also provide a convergence proof and error estimates for this algorithm.
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PDF链接：
https://arxiv.org/pdf/0908.4028