A Multidimensional Hilbert Transform Approach for Barrier Option Pricing and Survival Probability Calculation

This paper proposes a novel approach for pricing discretely monitored multi-asset barrier options and computing joint survival probability in multivariate exponential Levy asset price models. We prove exponential convergence... [ view full abstract ]

This paper proposes a novel approach for pricing discretely monitored multi-asset barrier options and computing joint survival probability in multivariate exponential Levy asset price models. We prove exponential convergence of the method for a large class of Levy processes and confirm its computational efficiency for popular two-dimensional Levy models and the three-dimensional Black-Scholes model. Our method outperforms the multidimensional Fourier-cosine algorithm.