Pricing American barrier options with discrete dividends by binomial trees

DOI10.1007/s10203-009-0089-4zbMath1176.91153OpenAlexW2024344819MaRDI QIDQ1037388

Marcellino Gaudenzi, Antonino Zanette

Publication date: 16 November 2009

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0089-4

zbMATH Keywords

singular pointsAmerican optionsbarrier optionstree methodsdiscrete dividends

Mathematics Subject Classification ID

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

Related Items

THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS, Efficient pricing of discrete Asian options, Fast binomial procedures for pricing Parisian/ParAsian options, Pricing barrier stock options with discrete dividends by approximating analytical formulae

Cites Work

• Efficient Pricing of Derivatives on Assets with Discrete Dividends
• The singular points binominal method for pricing American path-dependent options
• Option pricing: A simplified approach
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• Unnamed Item
• Unnamed Item