International audienceTree methods are among the most popular numerical methods to price financial derivatives. Mathematically speaking, they are easy to understand and do not require severe implementation skills to obtain algorithms to price financial derivatives. Tree methods basically consist in approximating the diffusion process modeling the underlying asset price by a discrete random walk. In this contribution, we provide a survey of tree methods for equity options, which focus on multiplicative binomial Cox-Ross-Rubinstein model
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
The aim of this dissertation is the study of efficient algorithms based on lattice procedures for de...
Merton (1976) provides a jump-diffusion model, where the dynamics of the price of the underlying are...
International audienceTree methods are among the most popular numerical methods to price financial d...
International audienceTree methods are among the most popular numerical methods to price financial d...
We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" p...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Stock Options are financial instruments whose values depend upon future price movements of the under...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
In this paper a direct generalisation of the recombining binomial tree model by Cox et al. (J Financ...
Due to the development of the pricing theory, options, as one of the most important financial deriva...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
The aim of this dissertation is the study of efficient algorithms based on lattice procedures for de...
Merton (1976) provides a jump-diffusion model, where the dynamics of the price of the underlying are...
International audienceTree methods are among the most popular numerical methods to price financial d...
International audienceTree methods are among the most popular numerical methods to price financial d...
We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" p...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
Most derivatives do not have simple valuation formulas and must be priced by numerical methods. Howe...
Stock Options are financial instruments whose values depend upon future price movements of the under...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
In this paper a direct generalisation of the recombining binomial tree model by Cox et al. (J Financ...
Due to the development of the pricing theory, options, as one of the most important financial deriva...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models as...
Most derivatives do not have simple valuation formulas and must be priced by nu-merical methods such...
The aim of this dissertation is the study of efficient algorithms based on lattice procedures for de...
Merton (1976) provides a jump-diffusion model, where the dynamics of the price of the underlying are...