Type of barrier option | Pricing using Brownian Bridge Technique ± standard Error | Pricing using Exponential Timestepping algorithm ± standard Error | Analytical result |
up-and-out put vanilla barrier option with cash rebate |
|
| 14.0218 |
down-and-out cash-or-nothing option |
|
| 1.5048 |
type A (early-ending) partial-time barrier option |
|
| 17.3410 |