Linear-time option pricing algorithms by combinatorics

DOI10.1016/J.CAMWA.2007.08.046MaRDI QIDQ2483085zbMATH OpenOpenAlexFDO

Authors Tian-Shyr Dai, Limin Liu, Yuh-Dauh Lyuu

Publication date 5 May 2008

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2007.08.046

zbMATH Keywords

latticecombinatoricspricingexotic optionoption

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3712896 (Why is no real title available?)
• scientific article; zbMATH DE number 51878 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Approximate option pricing
• Financial engineering and computation. Principles, mathematics, algorithms
• Option pricing: A simplified approach
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• The pricing of options and corporate liabilities

Cited in

(11)

• Pricing complexity options
• Option strategies with linear programming
• Ant Colony Optimization for Option Pricing
• Very fast algorithms for implied barriers and moving-barrier options pricing
• High Performance Implementation of Binomial Option Pricing
• Spectral binomial tree: new algorithms for pricing barrier options
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
• Computationally simple lattice methods for option and bond pricing
• Linear-time accurate lattice algorithms for tail conditional expectation
• Pricing ladder options with combinatorics
• scientific article; zbMATH DE number 2133128 (Why is no real title available?)

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