Hi,I am trying to compare the speeds between a trinomial lattice and FFT method to price discretely monitored barrier options.FFT: For example when considering a DOWN and Out Call: * I calculate the pricing kernel given by the underlying asset price process, which consists of three risk neutral probabilities padded with zeroes to match the option payoff vector at maturity.* The option payoff vector is truncated to acccount for the 'Knock Out' region.Then just plug both vectors into the relevant formula for calculating the time zero value of the option.Am I correct in the above???Please someone advise me.Thank You

ish, you can DFT your way back to the next monitoring but on each monitoring you need to apply the trunctation again 'observe the barrier' then you can DFT again.so the factor 100 speed up only applies between monitorings. sorry.

Does anybody have any MATLAB code to value single barrier options under discrete monitoring?cheersroysan13@msn.com