An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms

DOI10.1080/14697680902828456zbMath1195.91167OpenAlexW1989598049MaRDI QIDQ3568912

Christoph Wöster

Publication date: 16 June 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902828456

zbMATH Keywords

option pricingrisk managementbarrier optionbinomial treesnumerical methods for option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Option pricing: A simplified approach
• Unnamed Item

This page was built for publication: An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms