Pricing discrete knock-out options with tree methods

DOI10.1007/S002910050085zbMath0922.90016OpenAlexW1990939389MaRDI QIDQ1283717

Martin Wallmeier, Reinhold Hafner, Manfred Steiner

Publication date: 4 October 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050085

zbMATH Keywords

option pricingbinomial modelbarrier optionstrinomial modelnumerical procedures

Mathematics Subject Classification ID

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

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