This paper discusses the pitfalls in the pricing of barrier options a pproximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price...

This paper proposes fuzzy multi-criteria decision-making approach integrated with fuzzy real option value theory. The applicability of the proposed method was shown on a real-world supermarket location selection problem. Based on the interviews with the experts, the evaluation criteria for...

This paper examines the pricing of options by approximating extensions of the Black-Scholes setup in which volatility follows a separate diffusion process. It gereralizes the well-known binomial model, constructing a discrete two-dimensional lattice. We discuss convergence issues extensively and...