Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB
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Publication:4787269
DOI10.1137/S0036144501393266zbMath1029.91030MaRDI QIDQ4787269
Publication date: 5 January 2003
Published in: SIAM Review (Search for Journal in Brave)
Related Items (8)
COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options ⋮ On a new family of radial basis functions: mathematical analysis and applications to option pricing ⋮ On derivative-free extended Kalman filtering and its Matlab-oriented square-root implementations for state estimation in continuous-discrete nonlinear stochastic systems ⋮ A new method for evaluating options based on multiquadric RBF-FD method ⋮ Using spectral element method to solve variational inequalities with applications in finance ⋮ Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry ⋮ Stochastic approximation methods for American type options
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