GAUDENZI, MARCELLINO; LEPELLERE, MARIA ANTONIETTA - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 533-553
The aim of this work is to present a modification of the standard binomial method which allows to price American barrier options improving the efficiency of the trinomial methods. Our approach is based on a suitable interpolation of binomial values and allows to price and hedge such options also...