@inproceedings{7b8c41f5d8b0403bb096ff6aa5a7d056,
title = "An efficient, and fast convergent algorithm for barrier options",
abstract = "A barrier option is an option whose payoff depends on whether the price path of the underlying asset ever reaches certain predetermined price levels called the barriers. A single- (double-) barrier option is a barrier option with one (two, respectively) barrier(s). No simple and exact closed-form pricing formula for double-barrier options has been reported in the literature. This paper proposes a novel tree model that can price both single- and double-barrier options efficiently and accurately. This tree model achieves the high efficiency by combinar torial techniques and numerical accuracy by hitting the barriers exactly. Numerical experiments are given to verify the superiority of our method.",
keywords = "Barrier option, Combinatorics, Option pricing, Tree",
author = "Tian-Shyr Dai and Lyuu, {Yuh Dauh}",
year = "2007",
doi = "10.1007/978-3-540-72870-2_24",
language = "English",
isbn = "9783540728689",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer Verlag",
pages = "251--261",
booktitle = "Algorithmic Aspects in Information and Management - Third International Conference, AAIM 2007, Proceedings",
address = "德國",
note = "3rd International Conference on Algorithmic Aspects in Information and Management, AAIM 2007 ; Conference date: 06-06-2007 Through 08-06-2007",
}