Abstract
My intention in this chapter is to highlight a variety of specific numerical techniques that are of great value in the types of calculations and analysis required for FX barrier options. Of high importance are the two broad classes of numerical methods that are used for calculation of option values: finite-difference methods and Monte Carlo simulation. There is a lot of very good literature available on these two extensive subjects, so rather than re-introducing the subjects here, I will give references to published material and then point out some specific aspects of these subjects that are of particular importance.
Measure what is measurable, and make measurable what is not so.
Galileo Galilei
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© 2015 Zareer Dadachanji
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Dadachanji, Z. (2015). Numerical Methods. In: FX Barrier Options. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137462756_6
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DOI: https://doi.org/10.1057/9781137462756_6
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-56146-9
Online ISBN: 978-1-137-46275-6
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