PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD

DOI10.1142/S0219024906003664zbMath1184.91200MaRDI QIDQ5483504

Maria Antonietta Lepellere, Marcellino Gaudenzi

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

interpolationlattice methodsAmerican barrier options

Mathematics Subject Classification ID

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

Related Items (4)

THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Exercisability Randomization of the American Option ⋮ Pricing American barrier options with discrete dividends by binomial trees

Cites Work

• An efficient binomial method for pricing American options
• Option pricing: A simplified approach
• Unnamed Item

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