An adaptive averaging binomial method for option valuation
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Publication:2450702
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Cites work
- Adaptive lattice methods for multi-asset models
- Binomial models for option valuation - examining and improving convergence
- Compact finite difference schemes with spectral-like resolution
- Extrapolation methods theory and practice
- Option pricing: A simplified approach
- The rate of convergence of the binomial tree scheme
Cited in
(9)- Adaptive placement method on pricing arithmetic average options
- A unified approach for the pricing of options relating to averages
- Efficient lattice method for valuing of options with barrier in a regime switching model
- Path averaged option value criteria for selecting better options
- Pricing exotic derivatives exploiting structure
- Variable time-stepping hybrid finite difference methods for pricing binary options
- Improvement of using binomial tree method in pricing options
- Option valuation by a self-exciting threshold binomial model
- scientific article; zbMATH DE number 6283624 (Why is no real title available?)
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