The binomial interpolated lattice method for step double barrier options

DOI10.1142/S0219024914500356MaRDI QIDQ2929371zbMATH OpenOpenAlexFDO

Authors Elisa Appolloni, Marcellino Gaudenzi, Antonino Zanette

Publication date 12 November 2014

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

Full work available at URL https://doi.org/10.1142/s0219024914500356

zbMATH Keywords

American optionsbinomial methodinterpolationrate of convergencestep double barrier options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Fast accurate binomial pricing
• Pricing double barrier options
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• Spectral binomial tree: new algorithms for pricing barrier options
• An Efficient, and Fast Convergent Algorithm for Barrier Options

Cites work

• Convergence of barrier option prices in the binomial model
• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• Option pricing: A simplified approach
• PDE methods for pricing barrier options
• Pricing American barrier options with discrete dividends by binomial trees
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• Pricing general barrier options: a numerical approach using sharp large deviations
• Pricing Options With Curved Boundaries¹
• Stopped diffusion processes: boundary corrections and overshoot

Cited in

(10)

• Fast accurate binomial pricing
• Efficient lattice method for valuing of options with barrier in a regime switching model
• Spectral binomial tree: new algorithms for pricing barrier options
• Pricing double barrier options
• Pricing Discrete European Barrier Options Using Lattice Random Walks
• A simple Wiener-Hopf factorization approach for pricing double-barrier options
• An Improved Binomial Lattice Method for Multi‐Dimensional Options
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• Pricing exotic options in the incomplete market: an imprecise probability method

This page was built for publication: The binomial interpolated lattice method for step double barrier options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2929371)