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Volume 10/Number 4, Summer 2007 Research Papers Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options Mark S. Joshi
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia; email: mark@markjoshi.com Terence S. Leung
Department of Medical Physics and Bioengineering, Malet Place Engineering Building, University College London, Gower Street, London, WC1E 6BT, UK; email: tsl@medphys.ucl.ac.uk The problem of pricing a continuous barrier option in a jump-diffusion model is studied. It is shown via an effective combination of importance sampling and analytic formulas that substantial speed ups can be achieved. These techniques are shown to be particularly effective for computing deltas.
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