barrier pricing under jump diffusion
Posted: February 16th, 2010, 3:49 pm
Hi,referring to http://papers.ssrn.com/sol3/papers.cfm? ... _id=907386,(JofComputFinance Vol10 Number 4 Summer 2007)has any one tried/been able to obtain the same call down out prices in Table1.I implement their algorithm in 5 but obtain lower prices when intensities <=1 and higher prices when intensities >1 , with 1 million paths.regards,