THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double barrier options with American features. We provide a complete convergence analysis of the proposed lattice algorithm in the European case.

MoreLess

Year of publication:	2014
Authors:	APPOLLONI, ELISA ; GAUDENZI, MARCELLINO ; ZANETTE, ANTONINO
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 06, p. 1450035-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Step double barrier options \| American options \| binomial method \| interpolation \| rate of convergence

More details

Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010933657