The Binomial Interpolated Lattice Method for Step Double Barrier Options
| Autor: | Elisa Appolloni, Marcellino Gaudenzi, Antonino Zanette |
|---|---|
| Přispěvatelé: | Mathematical Risk handling (MATHRISK), Inria Paris-Rocquencourt, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC), Università degli Studi di Udine - University of Udine [Italie] |
| Jazyk: | angličtina |
| Rok vydání: | 2014 |
| Předmět: |
Step double barrier options
American options binomial method interpolation rate of convergence Mathematical optimization Trinomial tree Double barrier interpolation [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] Rate of convergence interpola-tion Lattice (order) Step double barrier options binomial method Lattice algorithm General Economics Econometrics and Finance American options Finance Lattice multiplication Mathematics Interpolation rate of convergence |
| Zdroj: | International Journal of Theoretical and Applied Finance International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩ International Journal of Theoretical and Applied Finance, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩ |
| ISSN: | 0219-0249 |
| DOI: | 10.1142/S0219024914500356⟩ |
| Popis: | International audience; We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and per-mits the valuation of step double barrier options with American features. We provide a complete convergence analysis of the proposed lattice algorithm in the European case. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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