Efficient trinomial trees for local‐volatility models in pricing double‐barrier options-Reference-Cited by-同舟云学术

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Efficient trinomial trees for local‐volatility models in pricing double‐barrier options

Published:2019-12-03 Issue:4 Volume:40 Page:556-574
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Lok U Hou¹^ORCID,Lyuu Yuh‐Dauh²

Affiliation:

1. College of BusinessNational Taipei University of Business Taipei Taiwan

2. Department of Finance and Department of Computer Science & Information EngineeringNational Taiwan University Taipei Taiwan

Funder

Ministry of Science and Technology, Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22080

Reference61 articles.

1. Computational Methods for Option Pricing

2. Jump Diffusion Option Valuation in Discrete Time

3. The equity option volatility smile: an implicit finite-difference approach

4. 1989 John Wiley & Sons New York NY K. Atkinson An introduction to numerical analysis

5. Can anyone solve the smile problem?

Cited by 3 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. The Boyle–Romberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing;Mathematics;2024-03-24

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

3. A Valid and Efficient Trinomial Tree for General Local-Volatility Models;Computational Economics;2021-08-06

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