Very fast algorithm for barrier options

Tian-Shyr Dai*, Yuh Dauh Lyuu

*此作品的通信作者

研究成果: Conference contribution同行評審

摘要

A barrier option is an option whose payoff depends on whether the price path of the underlying stock ever reaches certain predetermined price levels called the barriers. A double-barrier option is a barrier option with two barriers. 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 double-barrier options efficiently and accurately. This tree model achieves the high efficiency by combinatorial techniques and numerical accuracy by hitting the barriers exactly. Numerical experiments are given to verify the superiority of our method.

原文English
主出版物標題WMSCI 2006 - The 10th World Multi-Conference on Systemics, Cybernetics and Informatics, Jointly with the 12th International Conference on Information Systems Analysis and Synthesis, ISAS 2006 - Proc.
頁面306-311
頁數6
出版狀態Published - 2006
事件10th World Multi-Conference on Systemics, Cybernetics and Informatics, WMSCI 2006, Jointly with the 12th International Conference on Information Systems Analysis and Synthesis, ISAS 2006 - Orlando, FL, 美國
持續時間: 16 7月 200619 7月 2006

出版系列

名字WMSCI 2006 - The 10th World Multi-Conference on Systemics, Cybernetics and Informatics, Jointly with the 12th International Conference on Information Systems Analysis and Synthesis, ISAS 2006 - Proc.
6

Conference

Conference10th World Multi-Conference on Systemics, Cybernetics and Informatics, WMSCI 2006, Jointly with the 12th International Conference on Information Systems Analysis and Synthesis, ISAS 2006
國家/地區美國
城市Orlando, FL
期間16/07/0619/07/06

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