Looking Forward to Pricing Options from Binomial Trees

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

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.
12 pages, 1 figure

Keywords

General Physics, Condensed Matter

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/83675

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0008111
 http://arxiv.org/abs/physics/0008111

Collections

arXiv