English, Article edition: PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD MARCELLINO GAUDENZI; MARIA ANTONIETTA LEPELLERE

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Bookmark: http://trove.nla.gov.au/version/83141
Physical Description
  • article
Language
  • English

Edition details

Title
  • PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
Author
  • MARCELLINO GAUDENZI
  • MARIA ANTONIETTA LEPELLERE
Physical Description
  • article
Notes
  • The aim of this work is to present a modification of the standard binomial method which allows to price American barrier options improving the efficiency of the trinomial methods. Our approach is based on a suitable interpolation of binomial values and allows to price and hedge such options also in the critical case of near barriers. All the different types of single barrier options are considered, in the case of knock-in barriers a new implementation of the binomial method is provided.
  • American barrier options, lattice methods, interpolation
  • RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:533-553
Language
  • English
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