RT Journal Article SR Electronic T1 Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process JF The Journal of Derivatives FD Institutional Investor Journals SP 45 OP 52 DO 10.3905/jod.2010.17.3.045 VO 17 IS 3 A1 Sheldon M Ross A1 Samim Ghamami YR 2010 UL https://pm-research.com/content/17/3/45.abstract AB We present efficient simulation procedures for pricing barrier options when the underlying security price follows a geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in the same setting, but no variance reduction was introduced. We improve upon Metwally and Atiya's method by innovative applications of well-known variance reduction techniques. We also show how to use simulation to price knock-in options. Numerical examples show that our proposed Monte Carlo procedures lead to substantial variance reduction as well as a reduction in computing time.TOPICS: Simulations, options, volatility measures