Search Results - subject:"trinomial"

The convergence rate of option prices in trinomial trees

Leduc, Guillaume; Palmer, Kenneth J. - In: Risks : open access journal 11 (2023) 3, pp. 1-33

We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain … European path-independent options in the Black-Scholes setting. To our knowledge, the results here are the first for trinomial … arrays of random variables. We apply our result to the most popular trinomial trees and provide numerical illustrations …

Persistent link: https://www.econbiz.de/10014246348

The impact of negative interest rates on the pricing of options written on equity : a technical study for a suitable estimate of early termination

Bottasso, Anna; Bruno, Lorenzo; Giribone, Pier Giuseppe - In: Risk management magazine 17 (2022) 3, pp. 25-41

Tree, Jarrow-Rudd - JR Tree and Tian Tree), trinomial stochastic trees, Finite Difference Method (FDM) scheme and the …

Persistent link: https://www.econbiz.de/10013501175

Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad

Milanesi, Gastón - In: Revista de Métodos Cuantitativos para la Economía y … 32 (2021), pp. 257-273

is proposed, incorporating trinomial lattice, changing volatility, isoelastic utility function and variable risk aversion …

Persistent link: https://www.econbiz.de/10014494566

How much do negative probabilities matter in option pricing? A case of a lattice-based approach for stochastic volatility models

Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-32

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

Persistent link: https://www.econbiz.de/10012611798

How much do negative probabilities matter in option pricing? : a case of a lattice-based approach for stochastic volatility models

Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-32

Persistent link: https://www.econbiz.de/10012587779

Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad

Milanesi, Gastón - In: Revista de métodos cuantitativos para la economía y … 32 (2021), pp. 257-273

is proposed, incorporating trinomial lattice, changing volatility, isoelastic utility function and variable risk aversion …

Persistent link: https://www.econbiz.de/10012796289

Pricing maximum-minimum bidirectional options in trinomial CEV model

Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 21 (2016) 41, pp. 50-55

variance (CEV) model, a combining trinomial tree was structured to approximate the non-constant volatility that is a function … (minima) in the trinomial tree. With help of it, the computational problems can be effectively solved arising from the … trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the …

Persistent link: https://www.econbiz.de/10011859389

Pricing maximum-minimum bidirectional options in trinomial CEV model

Peng, Bin; Peng, Fei - In: Journal of economics, finance & administrative science 21 (2016) 41, pp. 50-55

Persistent link: https://www.econbiz.de/10011875160

Offshore outsourcing contracts: Real options analysis using trinomial option pricing model

Krishnaswamy, C. R.; Rathinasamy, Rathin S. - In: Global Business & Finance Review (GBFR) 20 (2015) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10012286576

Offshore outsourcing contracts : real options analysis using trinomial option pricing model

Krishnaswamy, C. R.; Rathinasamy, Rathin S. - In: Global business and finance review 20 (2015) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10011434265