Linear-time option pricing algorithms by combinatorics

DOI10.1016/J.CAMWA.2007.08.046zbMATH Open1147.91027OpenAlexW2011575244MaRDI QIDQ2483085FDOQ2483085

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

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

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zbMATH Keywords

latticecombinatoricspricingexotic optionoption

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Financial engineering and computation. Principles, mathematics, algorithms
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Option pricing: A simplified approach
• Title not available (Why is that?)
• Pricing Options With Curved Boundaries¹
• Approximate option pricing

Cited In (6)

• Option strategies with linear programming
• High Performance Implementation of Binomial Option Pricing
• Very fast algorithms for implied barriers and moving-barrier options pricing
• Spectral binomial tree: new algorithms for pricing barrier options
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
• Title not available (Why is that?)

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