Linear-time option pricing algorithms by combinatorics-Reference-Cited by-同舟云学术

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Linear-time option pricing algorithms by combinatorics

Published:2008-05 Issue:9 Volume:55 Page:2142-2157
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Dai Tian-Shyr,Liu Li-Min,Lyuu Yuh-Dauh

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference22 articles.

1. Options, Futures, and Other Derivatives;Hull,2003

2. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

3. Approximate option pricing;Chalasani;Algorithmica,1999

4. Option pricing: A simplified approach;Cox;J. Financ. Econ.,1979

5. Dynamic Asset Pricing Theory;Duffie,1996

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Very fast algorithms for implied barriers and moving-barrier options pricing;Mathematics and Computers in Simulation;2023-03

2. Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options;Mathematical Problems in Engineering;2022-05-21

3. Static Hedging Methods for Pricing Double Barrier Options;Advances in Pacific Basin Business, Economics and Finance;2022-03-15

4. Efficient trinomial trees for local‐volatility models in pricing double‐barrier options;Journal of Futures Markets;2019-12-03

5. Applying Greek letters to robust option price modeling by binomial-tree;Physica A: Statistical Mechanics and its Applications;2018-08

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