{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,4]],"date-time":"2026-05-04T09:51:29Z","timestamp":1777888289553,"version":"3.51.4"},"reference-count":0,"publisher":"SAGE Publications","issue":"1","license":[{"start":{"date-parts":[[2013,2,1]],"date-time":"2013-02-01T00:00:00Z","timestamp":1359676800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/journals.sagepub.com\/page\/policies\/text-and-data-mining-license"}],"content-domain":{"domain":["journals.sagepub.com"],"crossmark-restriction":true},"short-container-title":["Risk and Decision Analysis"],"published-print":{"date-parts":[[2013,2]]},"abstract":"<jats:p>In this paper, we propose a fast numerical method to evaluate discretely monitored derivatives. The key is to compute the involved probability integrals interactively. Our method can avoid the \u201ccurse of dimensionality\u201d that most other methods suffer. Also, we give a constructive proof for explicit error estimation that based on a simple and systematic quadrature technique. The numerical frameworks are included for applications of barrier options on a stock and a short rate.<\/jats:p>","DOI":"10.3233\/rda-2012-0077","type":"journal-article","created":{"date-parts":[[2019,12,3]],"date-time":"2019-12-03T17:38:37Z","timestamp":1575394717000},"page":"59-68","update-policy":"https:\/\/doi.org\/10.1177\/sage-journals-update-policy","source":"Crossref","is-referenced-by-count":0,"title":["Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities"],"prefix":"10.1177","volume":"4","author":[{"given":"Hon-Kwok","family":"Fung","sequence":"first","affiliation":[{"name":"Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Leong Kwan","family":"Li","sequence":"additional","affiliation":[{"name":"Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"S.P.","family":"Yung","sequence":"additional","affiliation":[{"name":"Department of Mathematics, The University of Hong Kong, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Wei","family":"Zhou","sequence":"additional","affiliation":[{"name":"Department of Mathematics, The University of Hong Kong, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","published-online":{"date-parts":[[2013,2]]},"container-title":["Risk and Decision Analysis"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/RDA-2012-0077","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/RDA-2012-0077","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,5,1]],"date-time":"2026-05-01T04:42:00Z","timestamp":1777610520000},"score":1,"resource":{"primary":{"URL":"https:\/\/journals.sagepub.com\/doi\/10.3233\/RDA-2012-0077"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,2]]}},"alternative-id":["10.3233\/RDA-2012-0077"],"URL":"https:\/\/doi.org\/10.3233\/rda-2012-0077","relation":{},"ISSN":["1569-7371","1875-9173"],"issn-type":[{"value":"1569-7371","type":"print"},{"value":"1875-9173","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,2]]}}}