Add to ORKGThis thesis deals with European and American options with tree methods via extrapolation and provides an e fficient methodology.Binomial and trinomial trees are widely used in numerical methods for derivatives pricing and applicable across a wide range of option types.However,convergence to the correct option price is oscillatory and nonmonotonic.This situation makes the tree method inaccurate and unsuitable for extrapolation.We fix the problem by pegging the strike price in the CRR method and make it applicable for extrapolation
AbstractThis paper studies the numerical approximation for an European option pricing model with jum...
Pricing European and American options accurately and efficiently has been a main concern in many stu...
The stock assets pay frequently dividends at discrete times and this produces important modification...
The aim of this dissertation is to investigate and analyse various numerical methods with implementa...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
Numerical methods like binomial and trinomial trees and finite difference methods can be used to pri...
In this paper we re-examine the Geske-Johnson (1984) formula and extend the analysis by deriving a m...
[[abstract]]The binominal option pricing model developed by Cox, Ross, and Rubinstein (1979), is an ...
International audienceTree methods are among the most popular numerical methods to price financial d...
以內插法加速美式選擇權的評價Abstract Pricing European and American options accurately and efficiently has been a m...
MasterOption contracts have become increasingly important in the field of financesince they possess ...
We consider the N step binomial tree model of stocks. Call options and put options of European and A...
Stock Options are financial instruments whose values depend upon future price movements of the under...
In this paper a direct generalisation of the recombining binomial tree model by Cox et al. (J Financ...
AbstractThis paper studies the numerical approximation for an European option pricing model with jum...
Pricing European and American options accurately and efficiently has been a main concern in many stu...
The stock assets pay frequently dividends at discrete times and this produces important modification...
The aim of this dissertation is to investigate and analyse various numerical methods with implementa...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
Numerical methods like binomial and trinomial trees and finite difference methods can be used to pri...
In this paper we re-examine the Geske-Johnson (1984) formula and extend the analysis by deriving a m...
[[abstract]]The binominal option pricing model developed by Cox, Ross, and Rubinstein (1979), is an ...
International audienceTree methods are among the most popular numerical methods to price financial d...
以內插法加速美式選擇權的評價Abstract Pricing European and American options accurately and efficiently has been a m...
MasterOption contracts have become increasingly important in the field of financesince they possess ...
We consider the N step binomial tree model of stocks. Call options and put options of European and A...
Stock Options are financial instruments whose values depend upon future price movements of the under...
In this paper a direct generalisation of the recombining binomial tree model by Cox et al. (J Financ...
AbstractThis paper studies the numerical approximation for an European option pricing model with jum...
Pricing European and American options accurately and efficiently has been a main concern in many stu...
The stock assets pay frequently dividends at discrete times and this produces important modification...