Randomized binomial tree and pricing of American-style options
From MaRDI portal
Recommendations
- On the binomial tree method and other issues in connection with pricing Bermudan and American options
- QUASIRANDOM TREE METHOD FOR PRICING AMERICAN STYLE DERIVATIVES(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- A trinomial tree methods for pricing American options
- On the rate of convergence of the binomial tree scheme for American options
- On the analytical/numerical pricing of American put options against binomial tree prices
- Alternative randomization for valuing American options
- A tree-based method to price American options in the Heston model
- Pricing of perpetual American and Bermudan options by binomial tree method
- An efficient binomial method for pricing American options
- Convergence of binomial tree method for American options
Cites work
- A copula-based correlation measure and its application in Chinese stock market
- An LMI approach for dynamics of switched cellular neural networks with mixed delays
- Asymptotic behavior for third-order quasi-linear differential equations
- Binomial options pricing has no closed-form solution
- Chapman-Kolmogorov lattice method for derivatives pricing
- HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Johnson binomial trees
- Option pricing: A simplified approach
- Option valuation by a self-exciting threshold binomial model
- Random walks in a random environment
- Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
- Sufficient conditions for non-Bazilevič functions
- The pricing of options and corporate liabilities
- The rate of convergence of the binomial tree scheme
Cited in
(7)- Assessing the option to abandon an investment project by the binomial options pricing model
- Exercisability Randomization of the American Option
- Nonparametric predictive inference for American option pricing based on the binomial tree model
- A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
- Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A discrete-time benchmark tracking problem in two markets subject to random environments
This page was built for publication: Randomized binomial tree and pricing of American-style options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1718063)
