Looking Forward to Pricing Options from Binomial Trees

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. Our reformulation allows us to write closed-form expressions for the value of European and American put barrier-options on a non-dividend-paying stock.

MoreLess

Year of publication:	2000-08-17
Authors:	Villani, Dario ; Ruckenstein, Andrei E.
Institutions:	EconWPA
Subject:	Binomial trees \| barrier options

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf application/postscript
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - tar/gz; prepared on UNIX Sparc TeX; to print on PostScript; pages: 12 ; figures: included 12 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; D9 - Intertemporal Choice and Growth
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134937