Efficient tree methods for pricing digital barrier options

Elisa Appolloni and Andrea Ligori

Papers from arXiv.org

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.

Date: 2014-01, Revised 2014-01
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1401.2900

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