An adaptive averaging binomial method for option valuation

DOI10.1016/j.orl.2013.06.008zbMath1286.91139OpenAlexW2021013551MaRDI QIDQ2450702

Kyoung-Sook Moon, Hongjoong Kim

Publication date: 15 May 2014

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2013.06.008

zbMATH Keywords

option pricingadaptive methodslocal averagingbinomial methods

Mathematics Subject Classification ID

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

Related Items (2)

Pricing exotic derivatives exploiting structure ⋮ Efficient lattice method for valuing of options with barrier in a regime switching model

Cites Work

• Adaptive lattice methods for multi-asset models
• Extrapolation methods theory and practice
• Compact finite difference schemes with spectral-like resolution
• The rate of convergence of the binomial tree scheme
• Binomial models for option valuation - examining and improving convergence
• Option pricing: A simplified approach

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