scholarly journals General lattice methods for arithmetic Asian options

2020 ◽  
Vol 282 (3) ◽  
pp. 1185-1199 ◽  
Author(s):  
Anna Maria Gambaro ◽  
Ioannis Kyriakou ◽  
Gianluca Fusai
Keyword(s):  
Asian Options ◽  
General Lattice ◽  
Lattice Methods

Design, implementation and validation of advanced lattice techniques for pricing EAKO — European American Knock-Out option

2019 ◽  
Vol 06 (04) ◽  
pp. 1950032 ◽  
Author(s):  
Mattia Fabbri ◽  
Pier Giuseppe Giribone
Keyword(s):  
Numerical Methods ◽  
Adaptive Mesh ◽  
European American ◽  
Knock Out ◽  
Lattice Methods ◽  
Mesh Model ◽  
Real Market

The paper presents a series of advanced lattice methods aimed at evaluating an EAKO European-American Knock-Out contract. The first part of the paper deals with the numerical methods implemented for pricing: Binomial and Trinomial Stochastic trees, Adaptive Mesh Model, Pentanomial and Heptanomial lattice. In the second part, specific tests are designed to validate the code written in Matlab language. The study concludes by applying the most performing model to a real market case.

On the enhanced convergence of standard lattice methods for option pricing

2002 ◽  
Vol 22 (4) ◽  
pp. 315-338 ◽  
Author(s):  
Martin Widdicks ◽  
Ari D. Andricopoulos ◽  
David P. Newton ◽  
Peter W. Duck
Keyword(s):  
Option Pricing ◽  
Lattice Methods ◽  
Standard Lattice

scholarly journals THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

2014 ◽  
Vol 17 (06) ◽  
pp. 1450035
Author(s):  
ELISA APPOLLONI ◽  
MARCELLINO GAUDENZI ◽  
ANTONINO ZANETTE
Keyword(s):  
Convergence Analysis ◽  
Complete Convergence ◽  
Barrier Options ◽  
Lattice Method ◽  
Double Barrier ◽  
Lattice Methods ◽  
Interpolation Techniques ◽  
Lattice Algorithm ◽  
Binomial Lattice ◽  
Barrier Problem

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double barrier options with American features. We provide a complete convergence analysis of the proposed lattice algorithm in the European case.

Lattice methods and their applications to reacting systems

1995 ◽  
Vol 19 (6-7) ◽  
pp. 617-646 ◽  
Author(s):  
S. Chen ◽  
S.P. Dawson ◽  
G.D. Doolen ◽  
D.R. Janecky ◽  
A. Lawniczak
Keyword(s):  
Lattice Methods ◽  
Reacting Systems
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