A cost-effective modification of the trinomial method for option pricing

MaRDI QIDQ5746665zbMATH OpenFDO

Authors Kyoung-Sook Moon, Hongjoong Kim

Publication date 7 February 2014

zbMATH Keywords

local averageoption pricingtrinomial method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Convergence of the trinomial tree method for pricing European/American options
• scientific article; zbMATH DE number 7267415
• A new version of the trinomial tree scheme for pricing options
• A trinomial tree methods for pricing American options
• Convergence rates of trinomial tree methods for option pricing under regime-switching models

Cited in

(6)

• Precise option pricing by the COS method -- how to choose the truncation range
• scientific article; zbMATH DE number 5909250 (Why is no real title available?)
• A new version of the trinomial tree scheme for pricing options
• Improvement of using binomial tree method in pricing options
• A new type of triple method for option pricing
• A trinomial tree methods for pricing American options

This page was built for publication: A cost-effective modification of the trinomial method for option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5746665)