Remarks on a financial inverse problem by means of Monte Carlo Methods

Estimating the price of a barrier option is a typical inverse problem. In this paper we present a numerical and statistical framework for a market with risk-free interest rate and a risk asset, described by a Geometric Brownian Motion (GBM). After approximating the risk asset with a numerical method, we find the final option price by following an approach based on sequential Monte Carlo methods. All theoretical results are applied to the case of an option whose underlying is a real stock