Efficient willow tree method for European-style and American-style moving average barrier options pricing

DOI10.1080/14697688.2016.1231416zbMath1402.91802OpenAlexW2547700174MaRDI QIDQ4555115

Zhehui Qian, Wei Xu, Ling Lü

Publication date: 19 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2016.1231416

zbMATH Keywords

interpolationMonte Carlo methodbinomial treemoving average barrier options pricingwillow tree model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem, RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE, Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

Cites Work

• Unnamed Item
• Unnamed Item
• Pricing derivatives with barriers in a stochastic interest rate environment
• A lattice algorithm for pricing moving average barrier options
• Convergence of numerical methods for valuing path-dependent options using interpolation
• A convergent quadratic-time lattice algorithm for pricing European-style Asian options
• Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
• Improved lower and upper bound algorithms for pricing American options by simulation
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• The Valuation of Path Dependent Contracts on the Average
• The value of an Asian option
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A new sampling strategy willow tree method with application to path-dependent option pricing
• The obstacle problem for a class of hypoelliptic ultraparabolic equations