Linear-time option pricing algorithms by combinatorics (Q2483085): Difference between revisions

This paper deals with option price for the log-normal stock process. Since most options can not be evaluated analytically, they must be priced by numerical methods. The lattice model is used mainly, namely the time interval from initial to mature is divided into \(n\) times steps and stock price is discretelized at each time step. For efficient computation, the authors applied combinatorial technique and showed how their combinatorial algorithms improved the speed of calculations for various lattice models, when \(n\) is large. Numerical results are given.