Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging binomial schemes with a particular application to barrier options
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
Rubinstein developed a binomial lattice technique for pricing European and American derivatives in t...
We present simple and fast algorithms for computing very tight upper and lower bounds on the prices ...
Binomial trees are very popular in both theory and applications of option pricing. As they often suf...
In the theory of option pricing one is usually concerned with evaluating expectations under the risk...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
Lattice methods or tree methods play an important role in option pricing. They are robust, and relat...
We consider the problem of pricing step double barrier options with binomial lattice methods. We int...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding a stretch para...
International audienceWe consider the problem of pricing step double barrier options with binomial l...
Barrier options are the most popular and traded derivatives in the financial market because of their...
We propose an efficient lattice method for valuation of options with barrier in a regime switching m...
We consider the problem of consistently pricing new options given the prices of related options on t...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
Rubinstein developed a binomial lattice technique for pricing European and American derivatives in t...
We present simple and fast algorithms for computing very tight upper and lower bounds on the prices ...
Binomial trees are very popular in both theory and applications of option pricing. As they often suf...
In the theory of option pricing one is usually concerned with evaluating expectations under the risk...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
Lattice methods or tree methods play an important role in option pricing. They are robust, and relat...
We consider the problem of pricing step double barrier options with binomial lattice methods. We int...
This thesis deals with the application of binomial option pricing in a single-asset Black-Scholes ma...
This paper generalizes the seminal Cox-Ross-Rubinstein (CRR) binomial model by adding a stretch para...
International audienceWe consider the problem of pricing step double barrier options with binomial l...
Barrier options are the most popular and traded derivatives in the financial market because of their...
We propose an efficient lattice method for valuation of options with barrier in a regime switching m...
We consider the problem of consistently pricing new options given the prices of related options on t...
This paper is dedicated to a new binomial lattice method (MSM) consistent with the Black-Scholes mod...
Rubinstein developed a binomial lattice technique for pricing European and American derivatives in t...
We present simple and fast algorithms for computing very tight upper and lower bounds on the prices ...
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