dorsal/arxiv
View SchemaLooking Forward to Pricing Options from Binomial Trees
| Authors | Dario Villani, Andrei E. Ruckestein |
|---|---|
| Categories | |
| ArXiv ID | physics/0008111 |
| URL | https://arxiv.org/abs/physics/0008111 |
Abstract
We reconsider the valuation of barrier options by means of binomial trees from a "forward looking" prospective rather than the more conventional "backward induction" one used by standard approaches. This reformulation allows us to write closed-form expressions for the value of European and American put barrier-options on a non-dividend-paying stock.
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"abstract": "We reconsider the valuation of barrier options by means of binomial trees\nfrom a \"forward looking\" prospective rather than the more conventional\n\"backward induction\" one used by standard approaches. This reformulation allows\nus to write closed-form expressions for the value of European and American put\nbarrier-options on a non-dividend-paying stock.",
"arxiv_id": "physics/0008111",
"authors": [
"Dario Villani",
"Andrei E. Ruckestein"
],
"categories": [
"physics.gen-ph",
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"title": "Looking Forward to Pricing Options from Binomial Trees",
"url": "https://arxiv.org/abs/physics/0008111"
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