Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB

DOI10.1137/S0036144501393266MaRDI QIDQ4787269zbMATH OpenFDO

Authors Desmond J. Higham

Publication date 5 January 2003

Published in SIAM Review (Search for Journal in Brave)

zbMATH Keywords

optimizationalgorithmAmerican optionBlack-ScholesEuropean optionvectorizationoverflowunderflow

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Recommendations

• An Introduction to Computational Finance
• An Introduction to Financial Option Valuation
• An efficient binomial method for pricing American options
• scientific article; zbMATH DE number 1069633
• scientific article; zbMATH DE number 2114372

Cited in

(8)

• On derivative-free extended Kalman filtering and its Matlab-oriented square-root implementations for state estimation in continuous-discrete nonlinear stochastic systems
• Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
• Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
• Stochastic approximation methods for American type options
• A new method for evaluating options based on multiquadric RBF-FD method
• On a new family of radial basis functions: mathematical analysis and applications to option pricing
• Using spectral element method to solve variational inequalities with applications in finance
• COS method for option pricing under a regime-switching model with time-changed Lévy processes

Describes a project that uses

Uses Software

• Matlab

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