Efficient tree methods for pricing digital barrier options
Computational Finance
2014-01-28 v2
Abstract
We propose an efficient lattice procedure which permits to obtain European and American option prices under the Black and Scholes model for digital options with barrier features. Numerical results show the accuracy of the proposed method.
Keywords
Cite
@article{arxiv.1401.2900,
title = {Efficient tree methods for pricing digital barrier options},
author = {Elisa Appolloni and Andrea Ligori},
journal= {arXiv preprint arXiv:1401.2900},
year = {2014}
}
Comments
21 pages, 5 figures