A new type of triple method for option pricing

zbMATH Open1164.91328MaRDI QIDQ3537801FDOQ3537801

Authors: Lijie Han, Xibo Liu, Yu Liu 

Publication date: 24 November 2008

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zbMATH Keywords

Black-Scholes equationbinomial tree modeltriple tree model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (5)

• The pricing of options on an interval binomial tree. An application to the DAX-index option market
• A new version of the trinomial tree scheme for pricing options
• Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
• Valueing trinomial option pricing with pseudoinverse matrix
• Decision tree and Microsoft Excel approach for option pricing model

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