THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

DOI10.1142/S0219024914500356zbMath1298.91153OpenAlexW2109391409MaRDI QIDQ2929371

Antonino Zanette, Marcellino Gaudenzi, Elisa Appolloni

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

interpolationrate of convergenceAmerican optionsbinomial methodstep double barrier options

Mathematics Subject Classification ID

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

Related Items (1)

A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options

Cites Work

• Pricing American barrier options with discrete dividends by binomial trees
• PDE methods for pricing barrier options
• Stopped diffusion processes: boundary corrections and overshoot
• Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
• Pricing Options With Curved Boundaries¹
• CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
• Option pricing: A simplified approach
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• Unnamed Item

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