PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD

DOI10.1142/S0219024906003664MaRDI QIDQ5483504zbMATH OpenFDO

Authors Marcellino Gaudenzi, Maria Antonietta Lepellere

Publication date 14 August 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906003664

zbMATH Keywords

American barrier optionsinterpolationlattice methods

Mathematics Subject Classification ID

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

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• An efficient binomial method for pricing American options
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Option pricing: A simplified approach

Cited in

(14)

• Pricing American barrier options with discrete dividends by binomial trees
• Pricing discrete knock-out options with tree methods
• Fast accurate binomial pricing
• An efficient binomial method for pricing American options
• The valuation of American barrier options using the decomposition technique
• A new integral equation approach for pricing American-style barrier options with rebates
• Spectral binomial tree: new algorithms for pricing barrier options
• The binomial interpolated lattice method for step double barrier options
• Exercisability Randomization of the American Option
• An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms
• An explicit finite difference approach to the pricing of barrier options
• Analytic solutions for American partial barrier options by exponential barriers
• Pricing exotic options in the incomplete market: an imprecise probability method
• Valuation of American partial barrier options

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