On pricing discrete barrier options using the Monte Carlo method

The Monte Carlo method has been applied in pricing discrete barrier options and a variety of variance reduction techniques have been used.The dual sampling method,conditional expectation method and importance sampling method have been combined in order to price the discrete barrier options.Furthermore,a numerical example is given to analyze the variance reduction efficiency of the different kinds of variance reduction techniques.The result shows that the method combining dual sampling,conditional expectation and importance sampling gives a robust price for discrete barrier options.