Efficient Simulations for Pricing Barrier Options under Stochastic Volatility Model

Abstract

In this work, a numerical method is proposed to evaluate barrier options. We use a classical and recently proposed numerical techniques for derivative pricing with applications to barrier options under stochastic volatility model. Monte-Carlo simulations are used which refer to a set of methods for generating synthetic time series of the volatility and stock price of equities, from which option price can be derived. We present our numerical results; we find that these schemes are intended to have faster convergence.