Linear-time option pricing algorithms by combinatorics

DOI10.1016/j.camwa.2007.08.046zbMath1147.91027OpenAlexW2011575244MaRDI QIDQ2483085

Limin Liu, Tian-Shyr Dai, Yuh-Dauh Lyuu

Publication date: 5 May 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2007.08.046

zbMATH Keywords

latticecombinatoricsoptionpricingexotic option

Mathematics Subject Classification ID

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

Related Items (3)

An efficient and accurate lattice for pricing derivatives under a jump-diffusion process ⋮ Spectral binomial tree: new algorithms for pricing barrier options ⋮ Very fast algorithms for implied barriers and moving-barrier options pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• Approximate option pricing
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Option pricing: A simplified approach
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