Spectral binomial tree: new algorithms for pricing barrier options

DOI10.1016/J.CAM.2012.10.036zbMath1285.91144OpenAlexW2037095785MaRDI QIDQ2448315

Yoshifumi Muroi, Takashi Yamada

Publication date: 30 April 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.10.036

zbMATH Keywords

eigenvalue problemstridiagonal matrixspectral methodsdouble barrier optionsrebates

Mathematics Subject Classification ID

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

Related Items (1)

Binomial tree method for option pricing: discrete cosine transform approach

Cites Work

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• Pricing double barrier options using Laplace transforms
• Linear-time option pricing algorithms by combinatorics
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Option pricing: A simplified approach

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