Search Results - subject:"Binomial tree method"

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Quantitative finance 20 (2020) 4, pp. 573-591

Persistent link: https://www.econbiz.de/10012194908

PRICING ARITHMETIC ASIAN OPTIONS UNDER THE CEV PROCESS

Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 15 (2010) 29, pp. 7-13

of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic … Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems …

Persistent link: https://www.econbiz.de/10009319493

Pricing Geometric Asian Options under the CEV Process

Peng, Bin - In: International Economic Journal 20 (2006) 4, pp. 515-522

of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price geometric … Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems …

Persistent link: https://www.econbiz.de/10009224482