Pricing Options Using Trinomial Lattice Method
نویسندگان
چکیده
منابع مشابه
Pricing Options Using Lattice Rules
There are many examples of option contracts in which the payoff depends on several stochastic variables. These options often can be priced by the valuation of multidimensional integrals. Quasi– Monte Carlo methods are an effective numerical tool for this task. We show that, when the dimensions of the problem are small (say, less than 10), a special type of quasi–Monte Carlo known as the lattice...
متن کاملPricing maximum-minimum bidirectional options in trinomial CEV model
Precios de opciones bidireccionales máximas-mínimas en el modelo ECV trinomial Códigos JEL: C14 F17 Palabras clave: Modelo ECV trinomial Algoritmo recursivo Opciones bidireccionales máximas-mínimas r e s u m e n Las opciones bidireccionales máximas-mínimas son un tipo de opciones exóticas dependientes de la trayectoria. En el modelo de elasticidad constante de la varianza (ECV), se estructuró u...
متن کاملPricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method
In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian...
متن کاملPricing Discrete European Barrier Options Using Lattice Random Walks
This paper designs a numerical procedure to price discrete Euro-pean barrier options in Black-Scholes model. The pricing problem is divided in a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a lattice random walk. Some results from the theory of Besov spaces will be presented which show that the c...
متن کاملPRICING STOCK OPTIONS USING FUZZY SETS
We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Finance and Economics
سال: 2019
ISSN: 2328-7284
DOI: 10.12691/jfe-7-3-1