[HTML][HTML] Efficient and robust combinatorial option pricing algorithms on the trinomial lattice for polynomial and barrier options

JY Wang, CJ Wang, TS Dai, TC Chen, LC Liu… - Mathematical …, 2022 - hindawi.com
Options can be priced by the lattice model, the results of which converge to the theoretical
option value as the lattice's number of time steps approaches infinity. The time complexity of …

Valuation of American Options and Employee Stock Options

QJ Shang - 2020 - arrow.tudublin.ie
Options play an important role in the financial world and are actively traded with huge
trading volume. Most of the options traded on exchanges are American options. Spanning …

American option pricing: Optimal Lattice models and multidimensional efficiency tests

Q Shang, B Byrne - Journal of Futures Markets, 2021 - Wiley Online Library
We introduce a set of lattice techniques to the Leisen‐Reimer and Tian binomial models with
a view to accelerating computation time and improving accuracy of American Option …

[PDF][PDF] Προβλήματα βέλτιστης διακοπής: με εφαρμογές στα χρηματοοικονομικά

Ν Μαλεκκίδης - 2024 - dspace.lib.ntua.gr
In the present thesis, we study optimal stopping problems. We investigate their properties, in
both the discrete and continuous time setting, and also their reduction to a free boundary …