Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-10-03
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
We propose an efficient lattice method for valuation of options with barrier in a regime switching model.
Specifically, we extend the trinomial tree method of Yuen and Yang (2010) by calculating the local average of prices near a node of the lattice.
The proposed method reduces oscillations of the lattice method for pricing barrier options and improves the convergence speed.
Finally, computational results for the valuation of options with barrier show that the proposed method with interpolation is more efficient than the other tree methods.
American Psychological Association (APA)
Han, Youngchul& Kim, Geonwoo. 2016. Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model. Discrete Dynamics in Nature and Society،Vol. 2016, no. 2016, pp.1-14.
https://search.emarefa.net/detail/BIM-1103354
Modern Language Association (MLA)
Han, Youngchul& Kim, Geonwoo. Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model. Discrete Dynamics in Nature and Society No. 2016 (2016), pp.1-14.
https://search.emarefa.net/detail/BIM-1103354
American Medical Association (AMA)
Han, Youngchul& Kim, Geonwoo. Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model. Discrete Dynamics in Nature and Society. 2016. Vol. 2016, no. 2016, pp.1-14.
https://search.emarefa.net/detail/BIM-1103354
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1103354