Add to ORKGThis paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes model in the limit of an infinite step number and such that the Strike $K$ is equal to one of the final nodes of the tree. The method is very easy to implement, since the parameters are explicitly given. Asymptotic expansions are obtained for the MSM European Put price and delta, which motivates the use of Richardson extrapolation. A numerical comparison with the best lattice based numerical methods known in literature, shows the efficiency of the proposed algorithm for pricing and hedging American Put options
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic...
This thesis presents repeated Richardson extrapolation for pricing American put option. We apply Ric...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
Binary tree methods, Option pricing, Hedging, American Put options, G13, C63, C02, 60J20, 65C40, 91B...
We consider the N step binomial tree model of stocks. Call options and put options of European and A...
We present simple and fast algorithms for computing very tight upper and lower bounds on the prices ...
International audienceWe consider the problem of pricing step double barrier options with binomial l...
We consider the problem of pricing step double barrier options with binomial lattice methods. We int...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
International audienceWe establish some error estimates for the binomial approximation of American p...
In this article we address the problem of valuing and hedging American options on baskets and spread...
Stocks frequently pay dividends, which has implications for the value of options written on these as...
Lattice methods or tree methods play an important role in option pricing. They are robust, and relat...
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic...
This thesis presents repeated Richardson extrapolation for pricing American put option. We apply Ric...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
Binary tree methods, Option pricing, Hedging, American Put options, G13, C63, C02, 60J20, 65C40, 91B...
We consider the N step binomial tree model of stocks. Call options and put options of European and A...
We present simple and fast algorithms for computing very tight upper and lower bounds on the prices ...
International audienceWe consider the problem of pricing step double barrier options with binomial l...
We consider the problem of pricing step double barrier options with binomial lattice methods. We int...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option prici...
International audienceWe establish some error estimates for the binomial approximation of American p...
In this article we address the problem of valuing and hedging American options on baskets and spread...
Stocks frequently pay dividends, which has implications for the value of options written on these as...
Lattice methods or tree methods play an important role in option pricing. They are robust, and relat...
In this paper we propose some moment matching pricing methods for European-style discrete arithmetic...
This thesis presents repeated Richardson extrapolation for pricing American put option. We apply Ric...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...