Efficient option valuation using trees

DOI10.1080/13504860210146711MaRDI QIDQ4804518zbMATH OpenOpenAlexFDO

Authors Stefano Herzel, David Heath

Publication date 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860210146711

zbMATH Keywords

Discrete-time ApproximationsNon-recombining TreesOption Pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• An equilibrium characterization of the term structure
• Binomial models for option valuation - examining and improving convergence
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• scientific article; zbMATH DE number 3426516 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(17)

• Computationally simple lattice methods for option and bond pricing
• Products of trees for investment analysis
• Pricing discrete knock-out options with tree methods
• A real options approach to the valuation of a forestry investment.
• Computational methods for incentive option valuation
• Linear-time option pricing algorithms by combinatorics
• How to speed up the quantization tree algorithm with an application to swing options
• Efficient willow tree algorithm for credit valuation adjustment of stock options
• Valuation of real options using the minimal entropy martingale measure
• A tree-based method to price American options in the Heston model
• scientific article; zbMATH DE number 1222805 (Why is no real title available?)
• scientific article; zbMATH DE number 1989781 (Why is no real title available?)
• Trinomial-tree Based Parallel Option Price Valuations
• Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift
• A shifted tree model for the efficient evaluation of options with fixed dividends
• LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES
• Lean trees -- a general approach for improving performance of lattice models for option pricing

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